Chapter 6. Stochastic Differential Equations

  1. P. J. Hunt1 and
  2. J. E. Kennedy2

Published Online: 28 JAN 2005

DOI: 10.1002/0470863617.ch6

Financial Derivatives in Theory and Practice

Financial Derivatives in Theory and Practice

How to Cite

Hunt, P. J. and Kennedy, J. E. (2004) Stochastic Differential Equations, in Financial Derivatives in Theory and Practice, John Wiley & Sons, Ltd, Chichester, UK. doi: 10.1002/0470863617.ch6

Author Information

  1. 1

    WestLB AG, London, UK

  2. 2

    University of Warwick, UK

Publication History

  1. Published Online: 28 JAN 2005
  2. Published Print: 26 MAY 2004

Book Series:

  1. Wiley Series in Probability and Statistics

Book Series Editors:

  1. Walter A. Shewhart and
  2. Samuel S. Wilks

ISBN Information

Print ISBN: 9780470863589

Online ISBN: 9780470863619

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Keywords:

  • stochastic differential equation (SDE);
  • solution to an SDE;
  • strong Markov property

Summary

This chapter contains sections titled:

  • Introduction

  • Formal Definition of An SDE

  • An Aside on the Canonical Set-up

  • Weak and Strong Solutions

  • Establishing Existence and Uniqueness: Itô Theory

  • Strong Markov Property

  • Martingale Representation Revisited