Some remarks on a linear stochastic differential equation (Q1819467)

Let \(\{\) W(z), \(z\in {\mathbb{R}}^ 2_+\}\) be a two-parameter Wiener process. The author considers the stochastic equation \(X_ z=1+\int_{R_ z}aX_ rdW_ r\), where a is a constant. Unlike the one-parameter case, the solution X(z) of this equation is not exponential. The following properties of X(z) are proved: (i) There exists \(\epsilon_ 0>0\) and a non-empty open subset \(\Delta\) of \((0,+\infty)^ 2\) such that \[ P\{X(z)<0,\text{ for all } z\in \epsilon \Delta \}>0 \] for all \(\epsilon \leq \epsilon_ 0\). (ii) \(E(| X(s,t)|^{-1})=\infty\) for any (s,t) such that st\(\neq 0.\) The author says that the solution of the linear stochastic equation \[ X_{st}=1+a\int^{s}_{0}\int^{t}_{0}X_{uv} dW^ 1_ u dW^ 2_ v, \] where \(\{W^ 1_ t\), \(t\geq 0\}\) and \(\{W^ 2_ t\), \(t\geq 0\}\) are two independent Brownian motions, has similar properties.