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On one-dimensional stochastic differential equations with unit diffusion coefficient. structure of solutions

 

作者: R. J. Chitashvili,   T. A. Toronjadze,  

 

期刊: Stochastics  (Taylor Available online 1981)
卷期: Volume 4, issue 4  

页码: 281-315

 

ISSN:0090-9491

 

年代: 1981

 

DOI:10.1080/17442508108833168

 

出版商: Gordon and Breach Science Publishers Inc,

 

数据来源: Taylor

 

摘要:

The given paper deals with the construction and description of the integral funnel of all solutions of one-dimensional stochastic differential equations with unit diffusion. The notions of weak and strict regularity of the equations under consideration are proved to be equivalent and all the results known up to now on the existence and uniqueness of strict solutions follow from this. Specifically, it implies, that the weak solution with a distribution absolutely continuous with respect to the Wiener measure will automatically be strict. The solution of the innovation problem is shown to follow from this result in the case when the signal is a random variable.

 

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