International Journal of Stochastic Analysis

International Journal of Stochastic Analysis / 1996 / Article

Open Access

Volume 9 |Article ID 184159 | https://doi.org/10.1155/S1048953396000263

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

Received01 May 1994
Revised01 Jan 1996

Abstract

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.

Copyright © 1996 Hindawi Publishing Corporation. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


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