Stochastic differential equations with random coefficients
| Contribuinte(s) |
Universitat de Barcelona |
|---|---|
| Data(s) |
18/04/2012
|
| Resumo |
In this paper we establish the existence and uniqueness of a solution for different types of stochastic differential equation with random initial conditions and random coefficients. The stochastic integral is interpreted as a generalized Stratonovich integral, and the techniques used to derive these results are mainly based on the path properties of the Brownian motion, and the definition of the Stratonovich integral. |
| Identificador | |
| Idioma(s) |
eng |
| Publicador |
Bernoulli Society for Mathematical Statistics and Probability |
| Direitos |
(c) ISI/BS, International Statistical Institute, Bernoulli Society, 1997 info:eu-repo/semantics/openAccess |
| Palavras-Chave | #Equacions diferencials estocàstiques #Integrals #Stochastic differential equations #Integrals |
| Tipo |
info:eu-repo/semantics/article |
