Skorohod stochastic differential equations of diffusion type

1992 ◽  
Vol 93 (3) ◽  
pp. 297-323 ◽  
Author(s):  
Rainer Buckdahn
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Diffusion Type

Markov Dilation of Diffusion Type Processes and its Application to the Financial Mathematics

1999 ◽  
Vol 6 (4) ◽  
pp. 363-378
Author(s):  
R. Tevzadze
Keyword(s):  
Differential Equations ◽  
Integral Representation ◽  
Stochastic Differential Equations ◽  
Markov Processes ◽  
Contingent Claim ◽  
Financial Mathematics ◽  
Diffusion Type ◽  
Replicating Portfolio ◽  
Infinitesimal Operators

Abstract The Markov dilation of diffusion type processes is defined. Infinitesimal operators and stochastic differential equations for the obtained Markov processes are described. Some applications to the integral representation for functionals of diffusion type processes and to the construction of a replicating portfolio for a non-terminal contingent claim are considered.

Stochastic Differential Equations for Power Law Behaviors

2012 ◽  
Author(s):  
Bo Jiang ◽  
Roger Brockett ◽  
Weibo Gong ◽  
Don Towsley
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Power Law

scholarly journals Strong Solution Existence for a Class of Degenerate Stochastic Differential Equations

2020 ◽  
Vol 53 (2) ◽  
pp. 2220-2224
Author(s):  
William M. McEneaney ◽  
Hidehiro Kaise ◽  
Peter M. Dower ◽  
Ruobing Zhao
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Strong Solution ◽  
Solution Existence
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