Journal of Applied Mathematics and Stochastic Analysis 
Volume 9 (1996), Issue 3, Pages 271-280
doi:10.1155/S1048953396000263

A stochastic model for the financial market with discontinuous prices

Leda D. Minkova

 Technical University of Sofia, Institute of Applied Mathematics and Informatics, P.O. Box 384, Sofia 1000, Bulgaria
Received 1 May 1994; Revised 1 January 1996

Abstract

This paper models some situations occurring in the financial market. The asset prices evolve according to a stochastic integral equation driven by a Gaussian martingale. A portfolio process is constrained in such a way that the wealth process covers some obligation. A solution to a linear stochastic integral equation is obtained in a class of cadlag stochastic processes.