Extended Itô integrals and the reflection problem

DOI10.1007/BF02432342zbMath0931.60041MaRDI QIDQ1288942

F. S. Nasyrov

Publication date: 21 November 1999

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

zbMATH Keywords

generalized Black-Scholes equationItô path integralspartial differential equations of parabolic type

Mathematics Subject Classification ID

Cites Work

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• On Local Times for Functions and StochasticProcesses
• On self-affine functions II

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