Stochastic Differential Equations with Multi-Markovian Switching
نویسندگان
چکیده
Owing to their theoretical and practical significance, (1) has received great attention and has been recently studied extensively, andwe heremention Skorokhod [1] andMao and Yuan [2] among many others. However, in the real world, the condition that coefficients f and g in (1) are perturbed by the same Markovian chain is too restrictive. For example, in the classical Black-Scholes model, the asset price is given by a geometric Brownian motion
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ورودعنوان ژورنال:
- J. Applied Mathematics
دوره 2013 شماره
صفحات -
تاریخ انتشار 2013