New stochastic calculus
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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- Erhan Bayraktar & Virginia Young, 2010.
"Optimal investment strategy to minimize occupation time,"
Annals of Operations Research,
Springer, vol. 176(1), pages 389-408, April.
- Erhan Bayraktar & Virginia R. Young, 2008. "Optimal Investment Strategy to Minimize Occupation Time," Papers 0805.3981, arXiv.org, revised Nov 2008.
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