Zabczyk: Stochastic invariance and consistency of financial models

Zabczyk, Jerzy:
Stochastic invariance and consistency of financial models (Invarianza stocastica e consistenza dei modelli finanziari)
Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Rendiconti Lincei. Matematica e Applicazioni Serie 9 11 (2000), fasc. n.2, p. 67-80, (English)
pdf (362 Kb), djvu (200 Kb). | MR1797512 | Zbl 0978.60039

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Questo lavoro riguarda la connessione fra l’invarianza stocastica in dimensione infinita e un problema di consistenza in finanza matematica. Vengono date condizioni necessarie e sufficienti di tipo Nagumo per l’invarianza di equazioni stocastiche con rumore additivo. Esse sono applicate a processi di Ornstein-Uhlenbeck e specifici modelli finanziari. Vengono anche discusse equazioni di evoluzione con rumore generale e viene fatto un paragone con recenti risultati ottenuti con metodi geometrici.

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Referenze Bibliografiche