Stochastic differential equations with random coefficients
Kohatsu-Higa, Arturo ; León, Jorge A. ; Nualart, David
Bernoulli, Tome 3 (1997) no. 3, p. 233-245 / Harvested from Project Euclid
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In this paper we establish the existence and uniqueness of a solution for different types of stochastic differential equation with random initial conditions and random coefficients. The stochastic integral is interpreted as a generalized Stratonovich integral, and the techniques used to derive these results are mainly based on the path properties of the Brownian motion, and the definition of the Stratonovich integral.
Publié le : 1997-06-14
Classification:  stochastic differential equations,  Stratonovich integrals 
@article{1177526731,
     author = {Kohatsu-Higa, Arturo and Le\'on, Jorge A. and Nualart, David},
     title = {Stochastic differential equations with random coefficients},
     journal = {Bernoulli},
     volume = {3},
     number = {3},
     year = {1997},
     pages = { 233-245},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177526731}
}

Kohatsu-Higa, Arturo; León, Jorge A.; Nualart, David. Stochastic differential equations with random coefficients. Bernoulli, Tome 3 (1997) no. 3, pp.  233-245. http://gdmltest.u-ga.fr/item/1177526731/