Analytical solutions for stochastic differential equations via martingale processes

DOI10.1007/s40096-015-0153-xzbMath1407.60080OpenAlexW572622356WikidataQ59431662 ScholiaQ59431662MaRDI QIDQ1992167

Amirhossein Sobhani, Hamidreza Rezazadeh, Maryam Behboudi, Rahman Farnoosh

Publication date: 2 November 2018

Published in: Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40096-015-0153-x

zbMATH Keywords

analytical solutionItô formulachange of variablemartingale processdifferentiable process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

Related Items (3)

A computational method for solving stochastic Itô-Volterra integral equation with multi-stochastic terms ⋮ Numerical methods for simulation of stochastic differential equations ⋮ Optimal investment in the presence of intangible assets and collateralized optimal debt ratio in jump-diffusion models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Exact solutions of stochastic differential equations: Gompertz, generalized logistic and revised exponential
• PDE and martingale methods in option pricing.
• A simple construction of certain diffusion processes
• An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
• On explicit solutions to stochastic differential equations
• Stochastic differential equations. An introduction with applications.

This page was built for publication: Analytical solutions for stochastic differential equations via martingale processes