An alternative approach to stochastic calculus for economic and financial models

DOI10.1016/0165-1889(93)00794-5zbMath0900.90032OpenAlexW1975085163MaRDI QIDQ673806

Robert Stephen Cantrell, D. F. Parker, James A. Reneke, Lloyd P. Blenman, Robert Fennell

Publication date: 28 February 1997

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(93)00794-5

zbMATH Keywords

Stochastic optimizationStochastic differential equationsAsset pricing modelsCanonical models

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (1)

Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations

Cites Work

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• Stochastic evolution equations in Hilbert spaces
• An Asymptotic Theory of Growth Under Uncertainty
• Portfolio Analysis in a Stable Paretian Market
• A New Representation for Stochastic Integrals and Equations
• On a Formula Concerning Stochastic Differentials

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