Articlebronze1964

On stationary solutions of a stochastic differential equation

204 citations0/0 files storedKyoto journal of mathematics

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Stochastic processes and financial applications Mathematical Dynamics and Fractals Nonlinear Differential Equations Analysis

Abstract

Discussed are: (1) Inequalities concerning stochastic integrals; (2) Totally bounded sets of stochastic processes; (3) The approximate sum of a stochastic intergral; (4) One sided solutions; (5) Stationary solutions; (6) Borel algebras related to the stationary solutions; (7) Lipschitz conditions; (8) Linear coefficients; (9) Diffusion theorems; (10) A modified Girsanov example; (11) A deterministic example; and (12) A two-dimensional example.

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References

1951On stochastic differential equations 1951Multiple Wiener Integral 1951On a Formula Concerning Stochastic Differentials 1952Complex Multiple Wiener Integral

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