Treffer: On Novikov and arbitrage properties of multidimensional diffusion processes with exploding drift
Title:
On Novikov and arbitrage properties of multidimensional diffusion processes with exploding drift
Authors:
Source:
Statistics & probability letters. 46(1):43-51
Publisher Information:
Amsterdam: Elsevier, 2000.
Publication Year:
2000
Physical Description:
print, 17 ref
Original Material:
INIST-CNRS
Subject Terms:
Mathematics, Mathématiques, Sciences exactes et technologie, Exact sciences and technology, Sciences et techniques communes, Sciences and techniques of general use, Mathematiques, Mathematics, Probabilités et statistiques, Probability and statistics, Théorie des probabilités et processus stochastiques, Probability theory and stochastic processes, Processus stochastiques, Stochastic processes, Analyse stochastique, Stochastic analysis, Sciences appliquees, Applied sciences, Recherche operationnelle. Gestion, Operational research. Management science, Recherche opérationnelle et modèles formalisés de gestion, Operational research and scientific management, Sélection et gestion de portefeuilles, Portfolio theory, Analyse stochastique, Stochastic analysis, Análisis estocástico, Arbitrage, Arbitration, Equation différentielle, Differential equation, Ecuación diferencial, Equation stochastique, Stochastic equation, Ecuación estocástica, Martingale, Modèle n dimensions, Multidimensional model, Modelo n dimensiones, Processus diffusion, Diffusion process, Proceso difusión, Processus stochastique, Stochastic process, Proceso estocástico, Solution faible, Weak solution, Solución débil, Absence arbitrage, No arbitrage, Condition Novikov, Novikov condition, Equation différentielle stochastique, Stochastic differential equation, Théorème Girsanov, Girsanov theorem
Document Type:
Fachzeitschrift
Article
File Description:
text
Language:
English
Author Affiliations:
Department of Finance, University of Ulm, Helmholtzstrasse 18, 89081 Ulm, Germany
ISSN:
0167-7152
Rights:
Copyright 2000 INIST-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
Notes:
Mathematics
Operational research. Management
Operational research. Management
Accession Number:
edscal.1248151
Database:
PASCAL Archive
Weitere Informationen
We investigate properties of processes X, which are weak solutions of multidimensional stochastic differential equations of the form dXt = b(t,Xt)dt + dWt, We show that under certain non-stochastic conditions the solution Xt itself satisfies a uniform Novikov property. Consequently, it will follow that under these assumptions the no arbitrage property of Xt can be obtained by applying the Girsanov theorem twice (in reverse directions). For the sake of illustration, some examples with exploding drifts b are presented.