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A stochastic model for the financial market with discontinuous prices

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  • Leda D. Minkova

Abstract

This paper models some situations occurring in the financial market. The asset prices evolve according to a stochastic integral equation driven by a Gaussian martingale. A portfolio process is constrained in such a way that the wealth process covers some obligation. A solution to a linear stochastic integral equation is obtained in a class of cadlag stochastic processes.

Suggested Citation

  • Leda D. Minkova, 1996. "A stochastic model for the financial market with discontinuous prices," International Journal of Stochastic Analysis, Hindawi, vol. 9, pages 1-10, January.
    • Handle: RePEc:hin:jnijsa:184159
    DOI: 10.1155/S1048953396000263
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