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General Method of Determination of Analytical Solutions for Stochastic Differential Equations

Author

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  • Víctor Nogales Bárcena

    (BBVA - Banco Bilbao Vizcaya Argentaria)

Abstract

In the many different fields where Stochastic Differential Equations are of application it is of great interest to consider stochastic models associated with SDEs having an analytical strong solution under a given measure. Would it be possible to deduce the form of a general condition that established whether one arbitrary SDE with a single Brownian associated term has such a solution or not? Would it be possible to develop a general method that allowed to determine an analytical solution in all possible cases, be it a weak or a strong one? This article develops the theoretical foundations that give an affirmative answer to these questions.

Suggested Citation

  • Víctor Nogales Bárcena, 2015. "General Method of Determination of Analytical Solutions for Stochastic Differential Equations," Working Papers hal-01290815, HAL.
    • Handle: RePEc:hal:wpaper:hal-01290815
    Note: View the original document on HAL open archive server: https://hal.science/hal-01290815v2
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    References listed on IDEAS

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    1. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
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