On SDEs with marginal laws evolving in finite-dimensional exponential families

DOI10.1016/S0167-7152(00)00039-0zbMath0961.60060MaRDI QIDQ1579848

Damiano Brigo

Publication date: 21 May 2001

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationexponential familiesFokker-Planck equationoption pricingnonlinear filteringstock price models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (1)

SDEs with uniform distributions: peacocks, conic martingales and mean reverting uniform diffusions

Cites Work

• Martingales and stochastic integrals in the theory of continuous trading
• Approximate nonlinear filtering by projection on exponential manifolds of densities
• Option pricing impact of alternative continuous-time dynamics
• Stochastic partial differential equations with unbounded coefficients and applications II

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