A class of stochastic differential equations with the time average (Q2452401)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A class of stochastic differential equations with the time average |
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A class of stochastic differential equations with the time average (English)
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3 June 2014
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This paper considers the solution of a class of stochastic differential equations in which the problem depends nonlinearly both on the solution and time average. Existence and uniqueness are established under certain linear growth and Lipschitz conditions. These results are modified under a local Lipschitz condition by the use of a Lyapunov function and bounds on the moments of the solution are given.
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stochastic differential equation
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time average
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existence
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uniqueness
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moment estimate
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Lyapunov function
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