On martingale property of the stochastic integral equations

DOI10.11568/KJM.2015.23.3.491MaRDI QIDQ5217040zbMATH OpenOpenAlexFDO

Authors Weonbae Kim

Publication date 21 February 2020

Published in Korean Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/54df8679983e9eaf496e582393b7a1e1dfd7c64e

zbMATH Keywords

Wiener processmartingalestochastic differential equationstochastic integral equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Martingales with continuous parameter (60G44) Numerical solutions to stochastic differential and integral equations (65C30) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Stochastic integral equations (60H20)

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Cites work

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• PDE and martingale methods in option pricing.
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(7)

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• scientific article; zbMATH DE number 2187770 (Why is no real title available?)
• scientific article; zbMATH DE number 807467 (Why is no real title available?)
• The martingale property in the context of stochastic differential equations
• Equivalence of Stochastic Equations and Martingale Problems
• Conic martingales from stochastic integrals
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