• Korean Journal of Mathematics
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• 제8권1호
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• pp.1-17
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• 2000

The existence of density of process, which is given by canonical stochastic differential equation, can be proved by the Picard's method([5]) also.

• Korean Journal of Mathematics
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• 제5권2호
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• pp.199-209
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• 1997

The existence and the smoothness of densities of random variables, which are generated by the canonical stochastic differential equation, can be proved by the Malliavin - Bismut method.

• Korean Journal of Mathematics
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• 제5권1호
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• pp.91-106
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• 1997

The existence and the smoothness of density of random variables which are solutions of the canonical stochastic differential equation can be proved by simpler conditions in the Malliavin-Bismut method.

• Korean Journal of Mathematics
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• 제6권2호
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• pp.259-279
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• 1998

For the forward-backward semimartingale, we can define the backward semimartingale flow which is generated by the backward canonical stochastic differential equation. Therefore, we define the backward self-similar stochastic processes, and we study the backward self-similar stochastic flows through the canonical stochastic differential equations.

• Korean Journal of Mathematics
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• 제13권1호
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• pp.19-34
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• 2005

Pricing and hedging strategy for European options of jump-type asset models, which are derived from a stochastic differential equations, are discussed.