A Causal Construction of Diffusion Processes

Details A Causal Construction of Diffusion Processes A Causal Construction of Diffusion Processes

2010-01-15

arxiv.org/abs/1001.2715v1

Mathematics

Probability

9 pages

Scientific paper

A simple nonlinear integral equation for Ito's map is obtained. Although, it
does not include stochastic integrals, it does give causal construction of
diffusion processes which can be easily implemented by iteration systems.
Applications in financial modelling and extension to fBm are discussed.

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