DERIVATIVES IN THE MEAN OF RANDOM PROCESSES AND DIFFUSION MODELS IN ECONOMICS

DOI10.14529/MMPH210303zbMath1475.60158OpenAlexW3189673420MaRDI QIDQ5153907

G. D. Kordyumov

Publication date: 1 October 2021

Published in: Bulletin of the South Ural State University series "Mathematics. Mechanics. Physics" (Search for Journal in Brave)

Full work available at URL: http://mathnet.ru/eng/vyurm487

zbMATH Keywords

Wiener processgeometric Brownian motiondiffusion modelsItô equationderivatives in meanmodels in financial mathematics

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Actuarial mathematics (91G05)

Cites Work

• Stochastic calculus for finance. II: Continuous-time models.
• On the Completeness of Stochastic Flows Generated by Equations with Current Velocities
• Unnamed Item

This page was built for publication: DERIVATIVES IN THE MEAN OF RANDOM PROCESSES AND DIFFUSION MODELS IN ECONOMICS