Abstract
In this chapter, we consider the general theory of a change of time method (CTM). One of probabilistic methods which is useful in solving stochastic differential equations (SDEs) arising in finance is the “change of time method”. We give the definition of CTM and describe CTM in martingale, semimartingale, and the SDEs settings. We also point out the association of CTM with subordinators and stochastic volatilities.
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