scientific article; zbMATH DE number 5026335

zbMATH Open1089.91504MaRDI QIDQ5467780FDOQ5467780

Authors: T. V. Shovkoplyas 

Publication date: 24 May 2006

Title of this publication is not available (Why is that?)

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zbMATH Keywords

stochastic differential equationfinancial modelstochastic processIto's formula

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cited In (5)

• Stochastic models of financial mathematics
• Properties of solutions of stochastic differential equations with nonhomogeneous coefficients and non-Lipschitz diffusion
• A generalized Cox-Ingersoll-Ross equation with growing initial conditions
• A nonautonomous Cox-Ingersoll-Ross equation with growing initial conditions
• The Riccati equation in mathematical finance.

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