ONE-DIMENSIONAL STRATONOVICH DIFFERENTIAL-EQUATIONS

• 成果类型: Article
• 署名作者: SANMARTIN, J
• 署名单位: Purdue University System; Purdue University
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• 发表日期: 1993
• 页码: 509-553
• 关键词: uniqueness; EXISTENCE

摘要

We consider one-dimensional stochastic differential equations of the Stratonovich type: [GRAPHICS] where Z(i) are continuous semimartingales, and A(k) are continuous finite variation processes. We extend the definition of the Fisk-Stratonovich integral for a large class of coefficients sigma(i), and under suitable conditions we prove existence and uniqueness for that equation.