2 papers
math.PR2025
Sub-diffusive Black-Scholes model and Girsanov transform for sub-diffusions
Shuaiqi Zhang, Zhen-Qing Chen
We propose a novel Black-Scholes model under which the stock price processes are modeled by stochastic differential equations driven by sub-diffusions. The new framework can captur…
math.PR2023
Fully coupled forward-backward stochastic differential equations driven by sub-diffusions
Shuaiqi Zhang, Zhen-Qing Chen
In this paper, we establish the existence and uniqueness of fully coupled forward-backward stochastic differential equations (FBSDEs in short) driven by anomalous sub-diffusions $B…