Abstract and Applied Analysis
- Abstr. Appl. Anal.
- Volume 2013 (2013), Article ID 637106, 9 pages.
Successive Approximation of SFDEs with Finite Delay Driven by -Brownian Motion
Full-text: Open access
Abstract
We consider the stochastic functional differential equations with finite delay driven by -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.
Article information
Source
Abstr. Appl. Anal., Volume 2013 (2013), Article ID 637106, 9 pages.
Dates
First available in Project Euclid: 27 February 2014
Permanent link to this document
https://projecteuclid.org/euclid.aaa/1393512233
Digital Object Identifier
doi:10.1155/2013/637106
Mathematical Reviews number (MathSciNet)
MR3147834
Zentralblatt MATH identifier
07095194
Citation
Yan, Litan; Zhang, Qinghua. Successive Approximation of SFDEs with Finite Delay Driven by $G$ -Brownian Motion. Abstr. Appl. Anal. 2013 (2013), Article ID 637106, 9 pages. doi:10.1155/2013/637106. https://projecteuclid.org/euclid.aaa/1393512233
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Digital Object Identifier: doi:10.1016/0022-0396(92)90148-G
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