scientific article; zbMATH DE number 1310477
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Publication:4254477
zbMath0938.60050MaRDI QIDQ4254477
Publication date: 21 June 2000
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Girsanov transformationsviability problemweak solution of stochastic differential equationsvaluation pricing of arbitrage-free European derivative securities
Related Items (5)
Invariance for rough differential equations ⋮ Viability for differential equations driven by fractional Brownian motion ⋮ Exact and possible viability for controlled diffusions. ⋮ Stochastic control and compatible subsets of constraints ⋮ A note on weak viability for controllled diffusion.
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