Stochastic differential equations with random coefficients

DOI10.2307/3318589MaRDI QIDQ1363405zbMATH OpenOpenAlexFDO

Authors Arturo Kohatsu-Higa, David Nualart, Jorge A. Leon

Publication date 1 April 1998

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2445/23385

zbMATH Keywords

stochastic differential equationStratonovich integral

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Review text

Let \[ X_t=X_0 +\int^t_0 b(X_s)d A_s+\int^t_0 \sigma(X_s) \circ dM_s, \tag{1} \] where \(X_0\) is a given random variable, \(b,\sigma\) are random functions, \(Z_t\), \(t\in[0,1]\), is a continuous semimartingale which has a canonical decomposition \(Z_t= M_t+A_t\), be a one-dimensional stochastic differential equation in the Stratonovich sense. The problem of the existence and uniqueness of a solution of (1) is considered. It is also established the existence and uniqueness of the solution for two cases of multidimensional Stratonovich equations.

Recommendations

• One-dimensional Stratonovich differential equations
• scientific article; zbMATH DE number 4135144
• Publication:3197083
• scientific article; zbMATH DE number 3878100

Cited in

(17)

• Linear stochastic partial differential equations with constant coefficients
• Generation of one-sided random dynamical systems by stochastic differential equations
• Stochastic differential equation in a random environment
• Cooperative random and stochastic differential equations
• SDEs with random and irregular coefficients
• Stratonovich type integration with respect to fractional Brownian motion with Hurst parameter less than 1/2
• One-dimensional Stratonovich differential equations
• Good rough path sequences and applications to anticipating stochastic calculus
• Random coefficient differential equation models for Monod kinetics
• scientific article; zbMATH DE number 4172083 (Why is no real title available?)
• scientific article; zbMATH DE number 4172084 (Why is no real title available?)
• Yule-Walker type estimator of first-order time-varying periodic bilinear differential model for stochastic processes
• Strong solutions of some one-dimensional SDEs with random and unbounded drifts
• Linear combinations of i.i.d. Strictly stable variables with random coefficients and their application to anomalous diffusion processes
• Hegselmann-Krause model with environmental noise
• A fractional stochastic differential equation with discontinuous diffusion driven by fBm with Hurst parameter less than 1/2
• Stochastic optimal control for systems with drifts of bounded variation: a maximum principle approach

This page was built for publication: Stochastic differential equations with random coefficients

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1363405)