| LINEAR SKOROHOD STOCHASTIC DIFFERENTIAL EQUATIONS IN THE TWO PARAMETER CASE |
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| 作者姓名： | A.N.Al Hussaini |
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| 作者单位： | A.N.Al Hussaini (University of Alberta and University of Manitoba，Canada) Lingqi Tang (University of California，Los Angeles，USA) |
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| 摘 要： | 1. IntroductionUsing Girsanov s transformation and Ito formula,Buckdahn (1 993) considered theequation with Skorohod integral:Xt=H ∫t0 b(Xs) ds ∫t0 a(Xs) d Ws, a.e.on A (1 .1 )where A is a bounded ball inΩ.For a linear Skorohod stochastic differential equation:Xt=H ∫t0 As Xsds ∫t0 Bs Xsd Ws,(1 ,2 )Shiota(1 986 ) constructed a solution by means of the Wiener- Itochaos decomposition,when(As) and(Bs) are deterministic processes and H is a random variable represented by…
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LINEAR SKOROHOD STOCHASTIC DIFFERENTIAL EQUATIONS IN THE TWO PARAMETER CASE |
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| A.N.Al,Hussaini.LINEAR SKOROHOD STOCHASTIC DIFFERENTIAL EQUATIONS IN THE TWO PARAMETER CASE[J].Mathematical Theory and Applications,2000(2). |
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| Authors: | ANAl Hussaini |
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| Abstract: | Using the method of the Wiener It chaos decomposition,we construct a solution of a linear Skorohod stochastic differential equation in the two parameter case. |
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| Keywords: | and phrases It formula Malliavin calculus two parameter Skorohod integral Wiener It chaos decomposition |
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