scientific article; zbMATH DE number 1310477

MaRDI QIDQ4254477zbMATH OpenFDO

Authors Mariusz Michta

Publication date 21 June 2000

zbMATH Keywords

Girsanov transformationsviability problemweak solution of stochastic differential equationsvaluation pricing of arbitrage-free European derivative securities

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic integral equations (60H20)

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Cited in

(5)

• Viability for differential equations driven by fractional Brownian motion
• Invariance for rough differential equations
• Stochastic control and compatible subsets of constraints
• Exact and possible viability for controlled diffusions.
• A note on weak viability for controllled diffusion.

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