Geodesic
Stochastic invariance and consistency of financial models
Atti della Accademia nazionale dei Lincei. Rendiconti Lincei. Matematica e applicazioni, Série 9, Tome 11 (2000) no. 2, pp. 67-80

Voir la notice de l'article provenant de la source Biblioteca Digitale Italiana di Matematica

The paper is devoted to a connection between stochastic invariance in infinite dimensions and a consistency question of mathematical finance. We derive necessary and sufficient conditions for stochastic invariance of Nagumo’s type for stochastic equations with additive noise. They are applied to Ornstein-Uhlenbeck processes and to specific financial models. The case of evolution equations with general noise is discussed also and a comparison with recent results obtained by geometric methods is presented as well. 
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     author = {Zabczyk, Jerzy},
     title = {Stochastic invariance and consistency of financial models},
     journal = {Atti della Accademia nazionale dei Lincei. Rendiconti Lincei. Matematica e applicazioni},
     pages = {67--80},
     publisher = {mathdoc},
     volume = {Ser. 9, 11},
     number = {2},
     year = {2000},
     zbl = {0978.60039},
     mrnumber = {MR1797512},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/RLIN_2000_9_11_2_a0/}
}
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Zabczyk, Jerzy. Stochastic invariance and consistency of financial models. Atti della Accademia nazionale dei Lincei. Rendiconti Lincei. Matematica e applicazioni, Série 9, Tome 11 (2000) no. 2, pp. 67-80. http://geodesic.mathdoc.fr/item/RLIN_2000_9_11_2_a0/