STOCHASTIC DIFFERENTIAL-EQUATIONS WITH RANDOM-COEFFICIENTS

Authors
KOHATSUHIGA A LEON JA NUALART D
Citation
A. Kohatsuhiga et al., STOCHASTIC DIFFERENTIAL-EQUATIONS WITH RANDOM-COEFFICIENTS, Bernoulli, 3(2), 1997, pp. 233-245
Citations number
12
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Bernoulli → ACNP
ISSN journal
13507265
Volume
3
Issue
2
Year of publication
1997
Pages
233 - 245
Database
ISI
SICI code
1350-7265(1997)3:2<233:SDWR>2.0.ZU;2-Q
Abstract
In this paper we establish the existence and uniqueness of a solution for different types of stochastic differential equation with random in itial conditions and random coefficients. The stochastic integral is i nterpreted as a generalized Stratonovich integral, and the techniques used to derive these results are mainly based on the path properties o f the Brownian motion, and the definition of the Stratonovich integral .