Toward uncertain finance theory
Baoding Liu, Uncertainty Theory Laboratory, Department of Mathematical Sciences, Tsinghua University, Beijing 100084, China
Journal of Uncertainty Analysis and Applications 2013, 1:1 doi:10.1186/2195-5468-1-1Published: 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.