model of stochastic dynamic systems with a square deviation no more than
and its application in investment projects
Gubkin Russian State University of Oil and Gas
The paper is received on on December
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.
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
dynamic systems, stochastic differential equations; the
adequate adaptive model; stochastic theory
of assets portfolio management; Black–Merton–Sholes’s model.