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Journal of Applied Mathematics and Stochastic Analysis - Volume 9 1996, Issue 3, Pages 271-280

Technical University of Sofia, Institute of Applied Mathematics and Informatics, P.O. Box 384, Sofia 1000, Bulgaria

Received 1 May 1994; Revised 1 January 1996

Copyright © 1996 Hindawi Publishing Corporation. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

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.





Autor: Leda D. Minkova

Fuente: https://www.hindawi.com/



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