Extending martingale measure stochastic integral with applications to spatially homogeneous S. P. D. E's.
Dalang, Robert C. (1999)
Electronic Journal of Probability [electronic only]
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Dalang, Robert C. (1999)
Electronic Journal of Probability [electronic only]
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Kolkovska, Ekaterina T. (2003)
International Journal of Mathematics and Mathematical Sciences
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Tudor, Ciprian A. (2004)
Journal of Applied Mathematics and Stochastic Analysis
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Mytnik, Leonid, Xiong, Jie (2007)
Electronic Journal of Probability [electronic only]
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István Gyöngy, Teresa Martínez (2001)
Czechoslovak Mathematical Journal
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We study the regularizing effect of the noise on differential equations with irregular coefficients. We present existence and uniqueness theorems for stochastic differential equations with locally unbounded drift.
Bo Zhu, Baoyan Han (2012)
Applications of Mathematics
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We give a sufficient condition on the coefficients of a class of infinite horizon backward doubly stochastic differential equations (BDSDES), under which the infinite horizon BDSDES have a unique solution for any given square integrable terminal values. We also show continuous dependence theorem and convergence theorem for this kind of equations.
Shigetoku Kawabata, Toshio Yamada (1982)
Séminaire de probabilités de Strasbourg
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Fleischmann, Klaus, Mytnik, Leonid (2003)
Electronic Journal of Probability [electronic only]
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Evans, Steven N., Perkins, Edwin A. (1998)
Electronic Journal of Probability [electronic only]
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