On martingale property of the stochastic integral equations

DOI10.11568/KJM.2015.23.3.491zbMATH Open1433.60056OpenAlexW1848016008MaRDI QIDQ5217040FDOQ5217040

Authors: Weonbae Kim 

Publication date: 21 February 2020

Published in: Korean Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/54df8679983e9eaf496e582393b7a1e1dfd7c64e

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zbMATH Keywords

Wiener processmartingalestochastic differential equationstochastic integral equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Martingales with continuous parameter (60G44) Numerical solutions to stochastic differential and integral equations (65C30) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Stochastic integral equations (60H20)

Cites Work

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Cited In (7)

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• The martingale property in the context of stochastic differential equations
• Equivalence of Stochastic Equations and Martingale Problems
• Conic martingales from stochastic integrals
• Title not available (Why is that?)

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