A maximum principle for the stochastic differential equations with multiplicative noise

2019/07/02 by Dietrich Ryter, Ryter, Dietrich
Economics, Econometrics and Finance · Social Sciences · #Stochastic processes and financial applications #Insurance, Mortality, Demography, Risk Management

paper · pdf · doi:10.48550/arxiv.1907.02598

Abstract

Agreement of the probability current with the resolving paths requires a simplified forward equation for the (unique) Ito paths. Their increments are the most probable rather than expected ones, in accordance with an existing extremum principle. The latter is also generalized.

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