Second order nonlinear stochastic differential equations (Q4375987)
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scientific article; zbMATH DE number 1114280
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| English | Second order nonlinear stochastic differential equations |
scientific article; zbMATH DE number 1114280 |
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Second order nonlinear stochastic differential equations (English)
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20 July 1998
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stochastic derivatives and integrals
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existence of solutions
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0.7823241353034973
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0.7805088758468628
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The stochastic differential equation \[ d \dot X(t) = \alpha (t,X(t),\dot X(t))dt+\beta(t,X(t),\dot X(t)) dZ(t) \] is studied that originates in the description of the movement of a simple harmonic oscillator. The process \(\{\dot X(t) \}\) denotes a pointwise derivative of the process \(\{X(t)\}\). The author supposes that the process \(\{Z(t)\}\) is \(L^{22}\)-bounded without fixed discontinuities and he defines an integral more general than the usual stochastic integral. Then he shows that there exists a unique absolutely continuous solution of the upper equation with some given properties.
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