2012-04-10T09:41:19Z
2012-04-10T09:41:19Z
1997
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.
Article
Published version
English
Equacions diferencials estocàstiques; Integrals; Stochastic differential equations; Integrals
Bernoulli Society for Mathematical Statistics and Probability
Reproducció del document publicat a: http://projecteuclid.org/euclid.bj/1177526731
Bernoulli, 1997, vol. 3, núm. 2, p. 233-245
(c) ISI/BS, International Statistical Institute, Bernoulli Society, 1997