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Latest revision as of 14:55, 22 May 2024

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Quasi sure analysis and Stratonovich anticipative stochastic differential equations
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    Quasi sure analysis and Stratonovich anticipative stochastic differential equations (English)
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    7 July 1994
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    Consider a stochastic differential equation on \(\mathbb{R}^ d\) with smooth and bounded coefficients. We apply the techniques of the quasi-sure analysis to show that this equation can be solved pathwise out of a slim set. Furthermore, we can restrict the equation to the level sets of a nondegenerate and smooth random variable, and this provides a method to construct the solution to an anticipating stochastic differential equation with smooth and nondegenerate initial condition.
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    stochastic differential equation
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    anticipating stochastic differential equation
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