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Differential Equations

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2004
Published Online:
October 2005
ISBN:
9780199271269
eISBN:
9780191602849
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199271267.003.0005
Subject:
Economics and Finance, Financial Economics

This chapter examines whether there exists a stochastic process X, which satisfies the stochastic differential equation (SDE) d X t = μ (t, X t) d t + σ (t, X t) d W t, X 0 = x 0. The standard method ... More


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