The Stochastic Differential Equation Method
Part of the B&SS — Bocconi & Springer Series book series (BS)
To certain peacocks (X t , t ≥ 0), we associate martingales (M t , t ≥ 0) which solve stochastic differential equations (SDE’s) of the form (Z t = ∫ 0 t σ (s, Z s )dB s , t ≥ 0).
KeywordsBrownian Motion Weak Solution Compact Support Stochastic Differential Equation Local Martingale
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© Springer-Verlag Italia 2011