ISSN:0090-9491    

DOI:10.1080/17442508008833143

出版商:Taylor & Francis Group    

年代:1980

数据来源: Taylor

摘要:

A unique solution is shown to exist of a stochastic differential equation where the solution is subject to random kicks whenever it reaches or crosses a pre-selected boundary. The driving terms are arbitrary semimartingales, and the solutions are shown not to have explosions, even with essentially no restrictions on the stochastic kicking process.

ISSN:0090-9491    

DOI:10.1080/17442508008833144

出版商:Taylor & Francis Group    

年代:1980

数据来源: Taylor

ISSN:0090-9491    

DOI:10.1080/17442508008833145

出版商:Taylor & Francis Group    

年代:1980

数据来源: Taylor

ISSN:0090-9491    

DOI:10.1080/17442508008833146

出版商:Taylor & Francis Group    

年代:1980

数据来源: Taylor

摘要:

Using a non-convex minimization result of Ekeland it is shown that an “almost optimal” control almost surely minimizes the conditional expectation of the Hamiltonian of the stochastic system, when the expectation is taken with respect to the observed ff-field

ISSN:0090-9491    

DOI:10.1080/17442508008833147

出版商:Taylor & Francis Group    

年代:1980

数据来源: Taylor

摘要:

LetZ1(t) andZ2(t) be solutions of two stochastic differential equations. ThenZ1(t)≦Z2(t) for allt⪋0 a.s. provided certain relations involving the coefficients and intial conditions of the equations hold. the diffusion coefficients are not required toi be the same for both equtions

ISSN:0090-9491    

DOI:10.1080/17442508008833148

出版商:Taylor & Francis Group    

年代:1980

数据来源: Taylor

摘要:

This paper states that a Gaussian process Y with mean 0 is equivalent to a Gaussian martingale starting from 0 if and only if Y is a semi-martingale with Gaussian martingale part and Gaussian “clrift” of a particular kind. We also obtain a theorem of Girsanov type tor Gaussian martingales and a criterion for the equivalence mentioned above in more convenient terms. Our results extend those of M. Hitsuda [8] concerning equivalence to a Wiener process

ISSN:0090-9491    

DOI:10.1080/17442508008833149

出版商:Taylor & Francis Group    

年代:1980

数据来源: Taylor

摘要:

A rete of convergence for the Wong and Zakai approximation of solutions of stochastic differential equations is obtained, based on an approximation of Browniam Motion by Transport processes

ISSN:0090-9491    

DOI:10.1080/17442508008833150

出版商:Taylor & Francis Group    

年代:1980

数据来源: Taylor

摘要:

A construction of stochastic integrals Jl,, f dX is given where Fand X are random processes. Conditions of martingale type forXand nonanticipating of f with respect toXare not assumed. We suppose that f;,Xare Gaussian processes, all other conditions are expressed in terms of the covariance functions off andX.

ISSN:0090-9491    

DOI:10.1080/17442508008833151

出版商:Taylor & Francis Group    

年代:1980

数据来源: Taylor

摘要:

A rate of convergence of a sequence of uniform transport processes to Brownian motion is derived, and a correspondmg rate for the Wong and Zakai approximation of stochastic integrals is given

ISSN:0090-9491    

DOI:10.1080/17442508008833152

出版商:Taylor & Francis Group    

年代:1980

数据来源: Taylor