Abstract
We prove an existence and uniqueness theorem for a class of Itô-Skorohod stochastic equations. As an application, we introduce a Black-Scholes market model where the price of the risky asset follows a nonadapted equation.
Open Access
Itô-Skorohod stochastic equations and applications to finance
Received06 Nov 2003
Revised08 Jun 2004
Copyright
Copyright © 2004 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.