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ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS

394 citations0/0 files storedMathematics of the USSR-Sbornik

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Differential Equations and Boundary Problems

Abstract

Conditions are obtained under which the stochastic equation has a strong solution. In particular, in the multidimensional case where the diffusion matrix is the identity matrix and the drift vector is bounded, these conditions are satisfied. Bibliography: 13 titles.

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1971On the uniqueness of solutions of stochastic differential equations 1974A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT

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