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- W1998174874 abstract "The inhomogeneous linear SDE X=C+∫0+X-dR, where X and C are càdlàg processes and R is a semimartingale, is solved. We give the solution in a “nice” form, which is also more general than that of Yoeurp and Yor [Espace orthogonal à une semi-martingale, Unpublished, 1977]. This SDE has a very natural interpretation in finance. If C is a stochastic cash flow and R is the return process of a money market account (that is, Nt=N0ɛ(R)t is the value of the money market account at time t), then the solution Xt is the time-t value of the cash flow C accumulated in the money market account (at the stochastic interest “rate” dR) over the time interval [0,t]." @default.
- W1998174874 created "2016-06-24" @default.
- W1998174874 creator A5070864465 @default.
- W1998174874 date "2003-07-01" @default.
- W1998174874 modified "2023-09-30" @default.
- W1998174874 title "A note on the inhomogeneous linear stochastic differential equation" @default.
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- W1998174874 doi "https://doi.org/10.1016/s0167-6687(03)00134-3" @default.
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