TL;DR
This paper introduces a new class of stochastic differential equations that are more general and simpler than traditional Ito-based equations, with applications demonstrated in investment modeling.
Contribution
The paper proposes a novel stochastic calculus framework that simplifies and generalizes existing stochastic differential equations.
Findings
New stochastic differential equations are more general and easier to work with.
Application to investment models shows practical utility.
Potential for broader applications in stochastic processes.
Abstract
We present new stochastic differential equations, that are more general and simpler than the existing Ito-based stochastic differential equations. As an example, we apply our approach to the investment (portfolio) model.
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Taxonomy
TopicsStochastic processes and financial applications · Financial Risk and Volatility Modeling · Risk and Portfolio Optimization