Existence of solutions of general nonlinear stochastic integral equations

MaRDI QIDQ1366937zbMATH OpenFDO

Authors Bernhard Rupp

Publication date 18 February 1998

Published in Indian Journal of Pure \& Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

existence of a solutionnonlinear stochastic integral equation

Mathematics Subject Classification ID

Stochastic integral equations (60H20)

Review text

Under assumptions more general than previously employed in the literature, this paper provides a proof of the existence of a solution \(x(t;\omega)\) of the nonlinear stochastic integral equation \[ x(t;\omega)=h(t,x(t;\omega))+ \sum^m_{i=1}\int^t_0 a_i(t,\tau;\omega)f_i(\tau, x(\tau,\omega))d\tau+ \sum^n_{j=1} \int^t_0 b_j(t,\tau;\omega)g_j(\tau, x(\tau;\omega))d\beta(\tau;\omega). \]

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Cited in

(14)

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• On existence, and stability of solutions of stochastic integral equations
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