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Abstract
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Journal of Applied Mathematics and Stochastic Analysis 
Volume 2004 (2004), Issue 4, Pages 359-369
doi:10.1155/S1048953304311044

Itô-Skorohod stochastic equations and applications to finance

Ciprian A. Tudor

Laboratoire de Probabilités et Modèles Aléatoires, Université de Paris 6, 4 Place Jussieu, Paris Cedex 5 75252, France

Received 6 November 2003; Revised 8 June 2004

Abstract

We prove an existence and uniqueness theorem for a class of Itô-Skorohod stochastic equations. As an application, we introduce a Black-Scholes market model where the price of the risky asset follows a nonadapted equation.