Some properties of solutions of double stochastic differential equations (Q5960457): Difference between revisions

The authors consider the double Itô stochastic equation of the form \[ \begin{multlined} X_t= \xi+ \sum^1_{j=0} \int^t_0 F_j(s, X_s) dW^{(j)}_s\\ + \sum^1_{j,k= 0} \int_{C_2(t)}\widetilde F_{j,k}(s_1, s_2, X_{s_1}) d\widetilde W^{(j)}_{s_1} d\widetilde W_{s_2}^{(k)},\qquad 0\leq t\leq T,\end{multlined}\tag{1} \] where \(dW^{(0)}_s= d\widetilde W^{(0)}_s= ds\) and \(W^{(1)}\), \(\widetilde W^{(1)}\) are Brownian motions. Under a Hölder-type hypothesis they obtain the existence and uniqueness of the strong solution and the convergence in probability of the successive approximations. It is also proved the existence of a weak solution for continuous coefficients. Moreover, the authors consider the convergence of the fractional step approximations to the unique solution of (1). This result is applied to obtain a comparison result for double stochastic equations.