Mimicking an Itō process by a solution of a stochastic differential equation

DOI10.1214/12-AAP881zbMath1284.60109arXiv1011.0111WikidataQ115240875 ScholiaQ115240875MaRDI QIDQ363861

Gerard Brunick, Steven E. Shreve

Publication date: 5 September 2013

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.0111

zbMATH Keywords

stochastic differential equationweak solutionstochastic volatility modelsconcatenated measurederivative security pricingItō process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic processes (60G99)

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