Quasi-diffusion solution of a stochastic differential equation
Agnieszka Plucińska ; Wojciech Szymański
Applicationes Mathematicae, Tome 34 (2007), p. 205-213 / Harvested from The Polish Digital Mathematics Library
Access to full text
Full (PDF)

We consider the stochastic differential equation Xt=X₀+∫0t(As+BsXs)ds+∫0tCsdYs, where At, Bt, Ct are nonrandom continuous functions of t, X₀ is an initial random variable, Y=(Yt,t≥0) is a Gaussian process and X₀, Y are independent. We give the form of the solution (Xt) to (0.1) and then basing on the results of Plucińska [Teor. Veroyatnost. i Primenen. 25 (1980)] we prove that (Xt) is a quasi-diffusion proces.

Publié le : 2007-01-01
EUDML-ID : urn:eudml:doc:279800 
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-am34-2-5,
     author = {Agnieszka Pluci\'nska and Wojciech Szyma\'nski},
     title = {Quasi-diffusion solution of a stochastic differential equation},
     journal = {Applicationes Mathematicae},
     volume = {34},
     year = {2007},
     pages = {205-213},
     zbl = {1121.60063},
     language = {en},
     url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am34-2-5}
}

Agnieszka Plucińska; Wojciech Szymański. Quasi-diffusion solution of a stochastic differential equation. Applicationes Mathematicae, Tome 34 (2007) pp. 205-213. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am34-2-5/