A note on the inhomogeneous linear stochastic differential equation.

DOI10.1016/S0167-6687(03)00134-3zbMath1081.60050WikidataQ115339589 ScholiaQ115339589MaRDI QIDQ1413415

Stefan R. Jaschke

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

Stochastic interest ratesChange of numeraireLinear stochastic differential equationsStochastic exponentials

Mathematics Subject Classification ID

Stochastic integral equations (60H20)

Related Items (12)

Distributional properties of solutions of dV_t = V_t-dU_t + dL_t with Lévy noise ⋮ Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model ⋮ Modeling Capital Gains Taxes for Trading Strategies of Infinite Variation ⋮ Stationary solutions of the stochastic differential equation \(dV_t = V_t -dU_t + dL_t\) with Lévy noise ⋮ For what trading strategies is the tax payment stream of infinite variation? ⋮ An extension of Paulsen-Gjessing's risk model with stochastic return on investments ⋮ ON SURRENDER AND DEFAULT RISKS ⋮ Martingale Valuation of Cash Flows for Insurance and Interest Models ⋮ General matrix-valued inhomogeneous linear stochastic differential equations and applications ⋮ A new formula for some linear stochastic equations with applications ⋮ Remarks on Föllmer's pathwise Itô calculus ⋮ Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs

Cites Work

• A stochastic interest model with an application to insurance
• Quelques applications de la formule de changement de variables pour les semimartingales
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: A note on the inhomogeneous linear stochastic differential equation.