Anticipating stochastic differential equations of Stratonovich type (Q1381314): Difference between revisions

The authors prove the existence and uniqueness of solution for the equation \[ X_t= X_0+ \int^t_0 \sum^k_{j= 1}\sigma_j(X_s)\circ dW^j_s+ \int^1_0 b(X_s)ds, \] where \(b,\sigma_j: \Omega\times \mathbb{R}^d\to\mathbb{R}^d\) may depend on the whole path of the Brownian motion \(W\). The authors extend a result of Ocone and Pardoux when \(\sigma\) also could anticipate \(W\); but they suppose that \(\sigma\) satisfies the so-called Frobenius condition in order to obtain the uniqueness of the solution. They use the Itô-Ventsell formula and the Doss's method which gives that \(X_t= h(Y_t, W_t)\) with \(h\) solution of \({\partial h\over\partial\beta}(\alpha, \beta)= \sigma(h(\alpha, \beta))\), \(h(\alpha, 0)= \alpha\), and \(Y\) solution of \[ Y_t'= \exp\Biggl(- \int^{W_t}_0 \sigma'(h(Y_t, s))ds\Biggr) b(h(Y_t, W_t)),\quad Y_0= X_0. \] Theorem 3.1 gives the explicit form for the unique solution of the equation.