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On the model of stochastic dynamic systems with a square deviation no more than 9% and its application in investment projects


Arseny A. Korshunov

Gubkin Russian State University of Oil and Gas


The paper is received on on December 11, 2015


Abstract. The problem of creating an adequate model of the dynamic systems described by the generalized Dupire’s stochastic differential equation in the context of the investment analysis is solved. Methods of the stochastic theory of assets portfolio management and Black–Merton–Sholes’s model are used. Characteristics of adequacy are found and the adequate adaptive model is constructed. The stable square deviation of model from real dynamics of an asset no more than 9% is reached.

Key words: dynamic systems, stochastic differential equations; the adequate adaptive model; stochastic theory of assets portfolio management; Black–Merton–Sholes’s model.