Analytical solutions for stochastic differential equations via Martingale processes

被引:7
作者
Farnoosh, Rahman [1 ]
Rezazadeh, Hamidreza [1 ]
Sobhani, Amirhossein [1 ]
Behboudi, Maryam [2 ]
机构
[1] Iran Univ Sci & Technol, Sch Math, Tehran 16844, Iran
[2] Islamic Azad Univ, Sci & Res Branch, Dept Stat, Tehran, Iran
关键词
Martingale process; Ito formula; Change of variable; Differentiable process; Analytical solution;
D O I
10.1007/s40096-015-0153-x
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
In this paper, we propose some analytical solutions of stochastic differential equations related to Martingale processes. In the first resolution, the answers of some stochastic differential equations are connected to other stochastic equations just with diffusion part (or drift free). The second suitable method is to convert stochastic differential equations into ordinary ones that it is tried to omit diffusion part of stochastic equation by applying Martingale processes. Finally, solution focuses on change of variable method that can be utilized about stochastic differential equations which are as function of Martingale processes like Wiener process, exponential Martingale process and differentiable processes.
引用
收藏
页码:87 / 92
页数:6
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