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Stochastic differential equations with random coefficients

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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.

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Bernoulli Society for Mathematical Statistics and Probability

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

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Articles publicats en revistes (Matemàtiques i Informàtica)

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Stochastic differential equations with random coefficients