An economic application on the ItΔ lemma

  • Authors:

  • Daniela Damian;Claudia-Georgeta Carstea;Lucian Patrascu;Ioan-Gheorghe Ratiu;Nicoleta David;Doru Plesea

  • Affiliations:

  • Department of Mathematics, Informatics and Socio-Human Sciences, "George Baritiu" University of Brasov, Romania;Department of Mathematics, Informatics and Socio-Human Sciences, "George Baritiu" University of Brasov, Romania;Department of Economics, "George Baritiu" University of Brasov, Romania;Department of Mathematics, Informatics and Socio-Human Sciences, "George Baritiu" University of Brasov, Romania;Department of Mathematics, Informatics and Socio-Human Sciences, "George Baritiu" University of Brasov, Romania;Department of Mathematics, Informatics and Socio-Human Sciences, "George Baritiu" University of Brasov, Romania

  • Venue:
  • SMO'09 Proceedings of the 9th WSEAS international conference on Simulation, modelling and optimization
  • Year:
  • 2009

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Abstract

This article tries to give a balanced representation of the theoretical foundations of mathematical finance, and their implementation. A stochastic differential equation (SDE) describes the increment of a variable, say X, which is driven by one or several underlying random processes. Here these sources of randomness are Brownian motion.