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Title:
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Stochastic differential equations with random coefficients
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Author:
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Kohatsu-Higa, Arturo; León, Jorge A.; Nualart, David, 1951-
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Other authors:
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Universitat de Barcelona |
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Abstract:
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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. |
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Publication date:
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2012-04-18 |
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Subject(s):
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Equacions diferencials estocàstiques
Integrals
Stochastic differential equations
Integrals |
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Rights:
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(c) ISI/BS, International Statistical Institute, Bernoulli Society, 1997
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Document type:
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Article |
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