On changes of measure in stochastic volatility models
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Publication:937484
DOI10.1155/JAMSA/2006/18130zbMath1147.60321MaRDI QIDQ937484
Bernard Wong, Christopher C. Heyde
Publication date: 15 August 2008
Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/54625
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs with randomness, stochastic partial differential equations (35R60)
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