Stochastic differential equations with random coefficients
| dc.contributor.author | Kohatsu-Higa, Arturo | cat |
| dc.contributor.author | León, J. A. (León Vázquez, Jorge A.) | cat |
| dc.contributor.author | Nualart, David, 1951- | cat |
| dc.date.accessioned | 2012-04-10T09:41:19Z | |
| dc.date.available | 2012-04-10T09:41:19Z | |
| dc.date.issued | 1997 | |
| 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. | eng |
| dc.format.extent | 13 p. | |
| dc.format.mimetype | application/pdf | |
| dc.identifier.idgrec | 146396 | |
| dc.identifier.issn | 1350-7265 | |
| dc.identifier.uri | https://hdl.handle.net/2445/23385 | |
| dc.language.iso | eng | eng |
| dc.publisher | Bernoulli Society for Mathematical Statistics and Probability | |
| dc.relation.isformatof | Reproducció del document publicat a: http://projecteuclid.org/euclid.bj/1177526731 | |
| dc.relation.ispartof | Bernoulli, 1997, vol. 3, núm. 2, p. 233-245 | |
| dc.rights | (c) ISI/BS, International Statistical Institute, Bernoulli Society, 1997 | |
| dc.rights.accessRights | info:eu-repo/semantics/openAccess | |
| dc.source | Articles publicats en revistes (Matemàtiques i Informàtica) | |
| dc.subject.classification | Equacions diferencials estocàstiques | cat |
| dc.subject.classification | Integrals | cat |
| dc.subject.other | Stochastic differential equations | eng |
| dc.subject.other | Integrals | eng |
| dc.title | Stochastic differential equations with random coefficients | eng |
| dc.type | info:eu-repo/semantics/article | |
| dc.type | info:eu-repo/semantics/publishedVersion |
Fitxers
Paquet original
1 - 1 de 1