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New stochastic calculus

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  • Moawia Alghalith

Abstract

We present new stochastic differential equations, that are more general and simpler than the existing Ito-based stochastic differential equations. As an example, we apply our approach to the investment (portfolio) model.

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  • Moawia Alghalith, 2012. "New stochastic calculus," Papers 1211.5819, arXiv.org.
    • Handle: RePEc:arx:papers:1211.5819
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    References listed on IDEAS

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    1. Erhan Bayraktar & Virginia Young, 2010. "Optimal investment strategy to minimize occupation time," Annals of Operations Research, Springer, vol. 176(1), pages 389-408, April.
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