On solutions of stochastic differential equations with drift |
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Authors: | M Rutkowski |
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Institution: | (1) Institute of Mathematics, Politechnika Warszawska, Pl. Jednoci Robotniczej 1, 00-661 Warszawa, Poland |
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Abstract: | Summary We study stochastic differential equations of the formdX
t=(X
t)dMt+b(Xt)dt whereM is a continuous local martingale and <M> stands for its quadratic variation process. The conditions introduced by Engelbert and Schmidt, which ensure the existence and uniqueness in law of solutions of SDE's driven by the Wiener process without drift (or with generalized drift) are shown to be no longer valid. |
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Keywords: | |
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