On explicit solutions to stochastic differential equations

DOI10.1080/07362990008809686zbMath0962.60042OpenAlexW2001746728MaRDI QIDQ4495501

Michael A. Kouritzin, De Li Li

Publication date: 4 June 2001

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

Full work available at URL: https://doi.org/10.1080/07362990008809686

zbMATH Keywords

stochastic differential equationdispersionpartial differential equationexplicit solution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (6)

On solutions to Itô stochastic differential equations ⋮ EXPLICIT HESTON SOLUTIONS AND STOCHASTIC APPROXIMATION FOR PATH-DEPENDENT OPTION PRICING ⋮ New method to option pricing for the general Black-Scholes model -- an actuarial approach ⋮ On explicit local solutions of Itô diffusions ⋮ Analytical solutions for stochastic differential equations via martingale processes ⋮ Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions

Cites Work

• Some further results on annuities certain with random interest
• The Laplace transform of annuities certain with exponential time distribution
• On the gap between deterministic and stochastic ordinary differential equations
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