Successive Approximation of SFDEs with Finite Delay Driven by G-Brownian Motion
We consider the stochastic functional differential equations with finite delay driven by G-Brownian motion. Under the global Carathéodory conditions we prove the existence and uniqueness, and as an application, we price the European call option when the underlying asset's price follows such an...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2013-01-01
|
| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2013/637106 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1849403495557365760 |
|---|---|
| author | Litan Yan Qinghua Zhang |
| author_facet | Litan Yan Qinghua Zhang |
| author_sort | Litan Yan |
| collection | DOAJ |
| description | We consider the stochastic functional differential equations with finite delay driven by G-Brownian motion. Under the global Carathéodory conditions we prove the existence and uniqueness, and as an application, we price the European call option when the underlying asset's price follows such an equation. |
| format | Article |
| id | doaj-art-8eae015ec44543d294d343af5c8af75b |
| institution | Kabale University |
| issn | 1085-3375 1687-0409 |
| language | English |
| publishDate | 2013-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Abstract and Applied Analysis |
| spelling | doaj-art-8eae015ec44543d294d343af5c8af75b2025-08-20T03:37:16ZengWileyAbstract and Applied Analysis1085-33751687-04092013-01-01201310.1155/2013/637106637106Successive Approximation of SFDEs with Finite Delay Driven by G-Brownian MotionLitan Yan0Qinghua Zhang1Glorious Sun School of Business and Management, Donghua University, 1882 West Yan-an Rood, Shanghai 200051, ChinaGlorious Sun School of Business and Management, Donghua University, 1882 West Yan-an Rood, Shanghai 200051, ChinaWe consider the stochastic functional differential equations with finite delay driven by G-Brownian motion. Under the global Carathéodory conditions we prove the existence and uniqueness, and as an application, we price the European call option when the underlying asset's price follows such an equation.http://dx.doi.org/10.1155/2013/637106 |
| spellingShingle | Litan Yan Qinghua Zhang Successive Approximation of SFDEs with Finite Delay Driven by G-Brownian Motion Abstract and Applied Analysis |
| title | Successive Approximation of SFDEs with Finite Delay Driven by G-Brownian Motion |
| title_full | Successive Approximation of SFDEs with Finite Delay Driven by G-Brownian Motion |
| title_fullStr | Successive Approximation of SFDEs with Finite Delay Driven by G-Brownian Motion |
| title_full_unstemmed | Successive Approximation of SFDEs with Finite Delay Driven by G-Brownian Motion |
| title_short | Successive Approximation of SFDEs with Finite Delay Driven by G-Brownian Motion |
| title_sort | successive approximation of sfdes with finite delay driven by g brownian motion |
| url | http://dx.doi.org/10.1155/2013/637106 |
| work_keys_str_mv | AT litanyan successiveapproximationofsfdeswithfinitedelaydrivenbygbrownianmotion AT qinghuazhang successiveapproximationofsfdeswithfinitedelaydrivenbygbrownianmotion |