Open AccessSuccessive Approximation of SFDEs with Finite Delay Driven byG
Author(s) -
Litan Yan,
Qinghua Zhang
Publication year - 2013
Publication title -
abstract and applied analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.228
H-Index - 56
eISSN - 1687-0409
pISSN - 1085-3375
DOI - 10.1155/2013/637106
Subject(s) - uniqueness , algorithm , mathematics , brownian motion , computer science , statistics , mathematical analysis
We consider the stochastic functional differential equations with finite delay driven by G-Brownian motion. Under the global Carathéodory conditions we prove the existence and uniqueness, and as an application, we price the European call option when the underlying asset's price follows such an equation
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