Itô’s Calculus in Financial Decision Making

DOI10.1137/1025121zbMath0524.90023OpenAlexW1998100419MaRDI QIDQ3037082

Anastasios G. Malliaris

Publication date: 1983

Published in: SIAM Review (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/fd2a3565d7eaf9b19425ecca4fd70f39831d89e9

zbMATH Keywords

stochastic differential equationsstochastic integrationfinancial economicsstochastic differentialsItō's calculus

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Economic growth models (91B62)

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A Delayed Black and Scholes Formula ⋮ The zitterbewegung region ⋮ Stochastic models for bond prices, function space integrals and immunization theory ⋮ Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise

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