Linear stochastic differential equations and Wick products (Q1333582)
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English | Linear stochastic differential equations and Wick products |
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Linear stochastic differential equations and Wick products (English)
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21 November 1994
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We establish the existence and uniqueness of the solution to a multidimensional linear Skorokhod stochastic differential equation with deterministic diffusion matrix, using the notions of Wick product and \(S\)-transform. If the diffusion matrix is constant and has real eigenvalues, the solution is a stochastic process with moments of all orders, provided that the initial condition is differentiable up to a suitable order. The case of a diffusion matrix in the first Wiener chaos is discussed in the last section.
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existence and uniqueness
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Skorokhod stochastic differential equation
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Wiener chaos
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