stochastic market model

Stochastic Market Model

Ito Process fernholz karatzas

{% M(t) = exp[\int_0^t r(u) du] %}

The ith stock price is modeled by the following differential

{% d log X_i(y) = \gamma_i(t) dt + \sum_j \sigma_{i,j}(t) dW_j(t) %}