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.
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Baoding Liu (2013) studied this question.
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