Discrete stochastic calculus and its applications: an expository note

DOI10.1007/978-4-431-54114-1_6zbMath1296.60139OpenAlexW2118593629MaRDI QIDQ2920946

Norihisa Kawai, Takahiko Fujita, Naoyuki Ishimura

Publication date: 29 September 2014

Published in: Advances in Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-4-431-54114-1_6

zbMATH Keywords

discrete Hamilton-Jacobi-Bellman equationoptimal portfolio problemdiscrete analogue of the Itō formulapricing of exchange options

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05) Portfolio theory (91G10)

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