Stochastic differential equations with random coefficients

Publication date

2012-04-10T09:41:19Z

2012-04-10T09:41:19Z

1997

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.

Document Type

Article


Published version

Language

English

Publisher

Bernoulli Society for Mathematical Statistics and Probability

Related items

Reproducció del document publicat a: http://projecteuclid.org/euclid.bj/1177526731

Bernoulli, 1997, vol. 3, núm. 2, p. 233-245

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Rights

(c) ISI/BS, International Statistical Institute, Bernoulli Society, 1997

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