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02.02.2018 | Methodologies and Application

A stock model with jumps for Itô–Liu financial markets

Erschienen in: Soft Computing | Ausgabe 12/2019

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Abstract

Over the years, various types of differential equations have been employed to describe a myriad of processes driven by the respective forms of indeterminacy. This paper presents and examines uncertain stochastic differential equations and their important characteristics. An uncertain stochastic differential equation is a differential equation driven by both a Brownian motion and a canonical Liu process. Moreover, an uncertain stochastic differential equation with jumps is a differential equation driven by a Brownian motion, a canonical Liu process and an uncertain random renewal process. Based on an uncertain stochastic differential equation with jumps, this study suggests a stock model with jumps for Itô–Liu financial markets. Generalised stock models for Itô–Liu financial markets are introduced as well.

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Titel: A stock model with jumps for Itô–Liu financial markets
Publikationsdatum: 02.02.2018
Erschienen in: Soft Computing / Ausgabe 12/2019
Print ISSN: 1432-7643
Elektronische ISSN: 1433-7479
DOI: https://doi.org/10.1007/s00500-018-3054-8

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