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math.PR2025
Stochastic Integration on Stochastic Sets of Interval Type and Applications to Mathematical Finance
Jia Yue, Ming-Hui Wang, Nan-Jing Huang
In the existing works, stochastic sets of interval type, along with -stochastic processes, were introduced within the framework of stochastic analysis. In…
math.PR2023
Stochastic Integrals on Predictable Sets of Interval Type with Financial Applications
Jia Yue, Ming-Hui Wang, Nan-Jing Huang
In this paper, by extending the classic stochastic integrals, we investigate three kinds of more general stochastic integrals: Lebesgue-Stieltjes integrals on predictable sets of i…
math.PR2019
Strong solutions for jump-type stochastic differential equations with non-Lipschitz coefficients
Zhun Gou, Ming-hui Wang, Nan-jing Huang
In this paper, the existence and pathwise uniqueness of strong solutions for jump-type stochastic differential equations are investigated under non-Lipschitz conditions. A sufficie…