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Georgian Mathematical Journal

, Volume 6, Issue 4, pp 363–378 | Cite as

Markov dilation of Diffusion Type Processes and Its Application to the Financial Mathematics

  • R. Tevzadze
Article
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Abstract

The Markov dilation of diffusion type processes is defined. Infinitesimal operators and stochastic differential equations for the obtained Markov processes are described. Some applications to the integral representation for functionals of diffusion type processes and to the construction of a replicating portfolio for a non-terminal contingent claim are considered.

Markov dilation infinitesimal operator Itô's formula replicating portfolio 

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Copyright information

© Plenum Publishing Corporation 1999

Authors and Affiliations

  • R. Tevzadze
    • 1
  1. 1.Institute of Cybernetics, Georgian Academy of SciencesTbilisiGeorgia

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