Journal of Applied Mathematics and Stochastic Analysis
Volume 2004 (2004), Issue 4, Pages 359-369
doi:10.1155/S1048953304311044

Itô-Skorohod stochastic equations and applications to finance

Ciprian A. Tudor

Laboratoire de Probabilités et Modèles Aléatoires, Université de Paris 6, 4 Place Jussieu, Paris Cedex 5 75252, France

Received 6 November 2003; Revised 8 June 2004

Copyright © 2004 Ciprian A. Tudor. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

We prove an existence and uniqueness theorem for a class of Itô-Skorohod stochastic equations. As an application, we introduce a Black-Scholes market model where the price of the risky asset follows a nonadapted equation.