A diffusion model for exchange rates. I: Theoretical introduction

DOI10.1016/0304-4149(86)90016-5zbMath0618.60050OpenAlexW1965406706MaRDI QIDQ1822412

W. J. R. Eplett

Publication date: 1986

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(86)90016-5

zbMATH Keywords

local timesFeynman-Kac formulaLévy processexplosionsbalanced interventionsrates of exchangestability of exchange rates

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Local time and additive functionals (60J55)

Cites Work

• Martingales and stochastic integrals in the theory of continuous trading
• Ergodic Properties of Recurrent Diffusion Processes and Stabilization of the Solution to the Cauchy Problem for Parabolic Equations
• Local times for Markov processes
• Mathematics of Speculative Price
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