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Remarks on the equation dXt = a(Xt)dBt |
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| Authors: | Cristina Betz Henryk Gzyl |
| Institution: | Escuela de Física y Matemáticas, Universidad Central de Venezuela, Caracas, Venezuela |
| Abstract: | We prove that if a global solution of the equation dXt = a(Xt) dBt, X0 = x exists for some x ? and ∫∞0a2(Xs)ds = ∞, then one must have a ≠ 0 a.e. |
| Keywords: | Brownian motion time change local martingale |
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