论文信息 - The Method of Upper and Lower Solutions of Stochastic Differential Equations and Applications

The Method of Upper and Lower Solutions of Stochastic Differential Equations and Applications

Abstract The purpose of this article is to consider a stochastic integral equation driven by semimartingale with discontinuous and increasing drift part. We discuss the existence of strong solutions using lower and upper solutions method and a fixed point theorem for ordered topological space. Finally we present some applications in finance.

Nikolaos Halidias | Mariusz Michta

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