Stochastic invariance and consistency of financial models

zbMath0978.60039MaRDI QIDQ5926045

Zabczyk, Jerzy

Publication date: 15 January 2002

Published in: Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Serie IX. Rendiconti Lincei. Matematica e Applicazioni (Search for Journal in Brave)

zbMATH Keywords

consistencyforward curveinvariant setsstochastic equations

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Generalizations of martingales (60G48)

Related Items (5)

Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control ⋮ Stochastic viability for regular closed sets in Hilbert spaces ⋮ Forward invariance and Wong-Zakai approximation for stochastic moving boundary problems ⋮ Characterization of Stochastic Viability of Any Nonsmooth Set Involving Its Generalized Contingent Curvature ⋮ Stochastic viability and comparison theorems for mixed stochastic differential equations

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