In this article, we derive a Stratonovich and Skorohod-type change of variables formula for a multidimensional Gaussian process with low Hölder regularity γ (typically γ ≤ 1/4). To this aim, we ...

Intrinsically noisy mechanisms drive most physical, biological and economic phenomena. Frequently, the system’s state influences the driving noise intensity (multiplicative feedback). These phenomena ...

Studies mathematical theories and techniques for modeling financial markets. Specific topics include the binomial model, risk neutral pricing, stochastic calculus, connection to partial differential ...