Stochastic differential equations with random coefficients

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dc.contributor	Universitat de Barcelona
dc.contributor.author	Kohatsu-Higa, Arturo
dc.contributor.author	León, J. A. (León Vázquez, Jorge A.)
dc.contributor.author	Nualart, David, 1951-
dc.date	2012-04-10T09:41:19Z
dc.date	2012-04-10T09:41:19Z
dc.date	1997
dc.identifier.citation	1350-7265
dc.identifier.citation	146396
dc.identifier.uri	http://hdl.handle.net/2445/23385
dc.format	13 p.
dc.format	application/pdf
dc.language.iso	eng
dc.publisher	Bernoulli Society for Mathematical Statistics and Probability
dc.relation	Reproducció del document publicat a: http://projecteuclid.org/euclid.bj/1177526731
dc.relation	Bernoulli, 1997, vol. 3, núm. 2, p. 233-245
dc.rights	(c) ISI/BS, International Statistical Institute, Bernoulli Society, 1997
dc.rights	info:eu-repo/semantics/openAccess
dc.subject	Equacions diferencials estocàstiques
dc.subject	Integrals
dc.subject	Stochastic differential equations
dc.subject	Integrals
dc.title	Stochastic differential equations with random coefficients
dc.type	info:eu-repo/semantics/article
dc.type	info:eu-repo/semantics/publishedVersion
dc.description.abstract	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.

Montero Torralbo, Miquel; Kohatsu-Higa, Arturo

León, J. A. (León Vázquez, Jorge A.); Márquez, David (Márquez Carreras); Vives i Santa Eulàlia, Josep, 1963-

Nualart, David, 1951-; Rascanu, Aurel

Nualart, David, 1951-; Sanz, Marta

Nualart, David, 1951-; Vives, Josep

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