Comparison of solutions of stochastic equations and applications |
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| Authors: | G. Ferreyra P. Sundar |
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| Affiliation: | Department of Mathematics , Louisiana State University , Baton Rouge, Louisiana, 70803 |
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| Abstract: | Pathwise comparison of solutions to a class of stochastic systems of differential equations is proved which extends the existing result of Geiβ and Manthey. When the diffusion coefficients are defferent, the Gal’?huk-Davis method is extended to establish the comparision results. We illustrate our results with several examples some of which arise in stochastic finance theory |
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| Keywords: | DAAA04-94-G-0249 Stochastic Differential Equations Comparision Theorems Applications to Finance |
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