Leda D. Minkova, "A stochastic model for the financial market with discontinuous prices", International Journal of Stochastic Analysis, vol. 9, Article ID 184159, 10 pages, 1996. https://doi.org/10.1155/S1048953396000263
A stochastic model for the financial market with discontinuous prices
This paper models some situations occurring in the financial market. The asset prices evolve according to a stochastic integral equation driven by a Gaussian martingale. A portfolio process is constrained in such a way that the wealth process covers some obligation. A solution to a linear stochastic integral equation is obtained in a class of cadlag stochastic processes.
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