×

A stochastic model for the financial market with discontinuous prices. (English) Zbl 0857.60061

Summary: This paper models some situations occurring in the financial market. The asset prices evolve according to a stochastic integral equation driven by a Gaussian martingale. A portfolio process is constrained in such a way that the wealth process covers some obligation. A solution to a linear stochastic integral equation is obtained in a class of cadlag stochastic processes.

MSC:

60H30 Applications of stochastic analysis (to PDEs, etc.)
60H20 Stochastic integral equations
PDF BibTeX XML Cite
Full Text: DOI EuDML