Markov Dilation of Diffusion Type Processes and Its Application to the Financial Mathematics
نویسنده
چکیده
The Markov dilation of diffusion type processes is defined. Infinitesimal operators and stochastic differential equations for the obtained Markov processes are described. Some applications to the integral representation for functionals of diffusion type processes and to the construction of a replicating portfolio for a non-terminal contingent claim are considered.
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