Continuous time portfolio theory and the Schwartz/Sobolev theory of distributions

DOI10.1016/0167-6377(88)90083-1zbMath0643.90008OpenAlexW2073830024MaRDI QIDQ1102161

Thomas Russel

Publication date: 1988

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6377(88)90083-1

zbMATH Keywords

diffusion processcapital assetsDistribution with Support the Originmoments of assets traded in continuous time

Mathematics Subject Classification ID

Diffusion processes (60J60)

Related Items (1)

Logistic map with memory from economic model

Cites Work

• The Pricing of Options and Corporate Liabilities
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