ANTICIPATING STOCHASTIC DIFFERENTIAL-EQUATIONS OF STRATONOVICH TYPE

Citation
A. Kohatsuhiga et Ja. Leon, ANTICIPATING STOCHASTIC DIFFERENTIAL-EQUATIONS OF STRATONOVICH TYPE, Applied mathematics & optimization, 36(3), 1997, pp. 263-289
Citations number
19
Categorie Soggetti
Mathematics,Mathematics
ISSN journal
00954616
Volume
36
Issue
3
Year of publication
1997
Pages
263 - 289
Database
ISI
SICI code
0095-4616(1997)36:3<263:ASDOST>2.0.ZU;2-S
Abstract
We prove the existence and uniqueness of Stratonovich stochastic diffe rential equations where the coefficients and the initial condition may depend on the whole path of the driving Wiener process. Our main hypo thesis is that the diffusion coefficient satisfies the Frobenius condi tion. The solution is given in terms of solutions of ordinary differen tial equations and the Wiener process. We use this representation to s tudy properties of the solution.