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The Method of Upper and Lower Solutions of Stochastic Differential Equations and Applications.
- Source :
-
Stochastic Analysis & Applications . Jan/Feb2008, Vol. 26 Issue 1, p16-28. 13p. - Publication Year :
- 2008
-
Abstract
- The purpose of this article is to consider a stochastic integral equation driven by semimartingale with discontinuous and increasing drift part. We discuss the existence of strong solutions using lower and upper solutions method and a fixed point theorem for ordered topological space. Finally we present some applications in finance. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 07362994
- Volume :
- 26
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- Stochastic Analysis & Applications
- Publication Type :
- Academic Journal
- Accession number :
- 28056087
- Full Text :
- https://doi.org/10.1080/07362990701670217