Publication:3599609

zbMath1153.91540MaRDI QIDQ3599609

Jian-Zhong Lin, Zhong-Xing Ye

Publication date: 9 February 2009

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J65: Brownian motion

60H30: Applications of stochastic analysis (to PDEs, etc.)

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

Related Items

Closed-form optimal strategies of continuous-time options with stochastic differential equations