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Toward uncertain finance theory

Baoding Liu

Author Affiliations

Baoding Liu, Uncertainty Theory Laboratory, Department of Mathematical Sciences, Tsinghua University, Beijing 100084, China

Journal of Uncertainty Analysis and Applications 2013, 1:1  doi:10.1186/2195-5468-1-1

Published: 24 April 2013


This paper first introduces a paradox of stochastic finance theory that shows the real stock price is impossible to follow any Ito’s stochastic differential equation. After a survey on uncertainty theory, uncertain process, uncertain calculus, and uncertain differential equation, this paper discusses some possible applications of uncertain differential equations to financial markets. Finally, it is suggested that a new uncertain finance theory should be developed based on uncertainty theory and uncertain differential equation.

Finance; Uncertainty theory; Uncertain process; Uncertain calculus; Uncertain differential equation