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Stochastic differential equations with random coefficients
Kohatsu-Higa, Arturo; León, Jorge A.; Nualart, David, 1951-
Universitat de Barcelona
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.
Equacions diferencials estocàstiques
Stochastic differential equations
(c) ISI/BS, International Statistical Institute, Bernoulli Society, 1997
Bernoulli Society for Mathematical Statistics and Probability

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