An Application of the Arrhenius Equation in Portfolio Modeling

Abstract

The aim of this paper is to provide a modeling of capital transfer between a portfolio consisted by two assets. For this purpose we use the Arrhenius Equation, which is a modeling tool for the specific modeling. We provide a stochastic differential equation of the Arrhenuis equation. We consider a unique uncertainty factor for this purpose, which arises from a generalization of It$\hat{o}$ stochastic integral. The stochastic integral established in this paper, may become a tool of substitution in any application of the It$\hat{o}$ stochastic integral in Finance.