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The Method of Upper and Lower Solutions of Stochastic Differential Equations and Applications |
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| Authors: | Nikolaos Halidias |
| Institution: | Department of Statistics and Actuarial-Finance Mathematics, Laboratory of Actuarial-Financial Mathematics , University of the Aegean , Karlovassi, Samos, Greece |
| Abstract: | Abstract The purpose of this article is to consider a stochastic integral equation driven by semimartingale with discontinuous and increasing drift part. We discuss the existence of strong solutions using lower and upper solutions method and a fixed point theorem for ordered topological space. Finally we present some applications in finance. |
| Keywords: | Fixed points Lower and upper solutions Risk models Semi martingales Stochastic differential equations |