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Anticipating Stochastic Differential Equations of Stratonovich Type (anticipating Stratonovich Sde)
| Content Provider | Semantic Scholar |
|---|---|
| Author | Kohatsu-Higa, Arturo |
| Copyright Year | 1996 |
| Abstract | We prove existence and uniqueness for Stratonovich stochas-tic diierential equations where the coeecients and the initial condition may depend on the whole path of the driving Wiener process. Our main hypothesis is that the diiusion coeecient satisses the Frobenius condition. The solution is given in terms of solutions of ordinary diierential equations and the Wiener process. We use this representation to study properties of the solution. 1 ferential equation. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://www.econ.upf.es/~kohatsu/papers/jleon.ps.gz |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |