Une condition ctexistence et d'unicitépour les solutions fortes d'équations différentielles stochastiques
作者:
Jean Jacod,
期刊:
Stochastics
(Taylor Available online 1980)
卷期:
Volume 4,
issue 1
页码: 23-38
ISSN:0090-9491
年代: 1980
DOI:10.1080/17442508008833155
出版商: Gordon and Breach Science Publishers, Inc
数据来源: Taylor
摘要:
We consider the following stochastic differentic equationwhereZis a given semimartingale andKis a given process with right-continuous and lefthand limited paths, on some filtered probability space. We prove the exixtence of a strong solution (or: solution-process) on this space, under an at most linear growth condition on g, when the usual Lipschitz Countinuity ofg,(ω,x) inxis replaced by weaker hypothese, namely that gs(ω,x) is continuous inxand satisfies a monotonicity condition related to the processZ.
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