Second order nonlinear stochastic differential equations

DOI10.1016/S0362-546X(96)00211-8MaRDI QIDQ4375987zbMATH OpenFDO

Authors Malempati M. Rao

Publication date 20 July 1998

Published in Nonlinear Analysis: Theory, Methods & Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0362-546X(96)00211-8

zbMATH Keywords

existence of solutionsstochastic derivatives and integrals

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Review text

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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• Martingales and One-Dimensional Diffusion
• Second Order Itô Processes
• The parabolic differential equations and the associated semigroups of transformation

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• A stochastic algebraic-differential equation of the Newton-Nelson type

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