Title of article :
On solutions to Ito stochastic differential equations
Author/Authors :
Villarroel، نويسنده , , Javier، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2003
Abstract :
In this paper we obtain general conditions under which stochastic differential equations possess a strong solution representable in an explicit form as a functional of the Wiener process. Particular interest bears the problem of determining conditions that guarantee non-explosion of the solution. The necessary as well as sufficient condition is derived.
Keywords :
Stochastic ordinary differential equations , Itoיs equation
Journal title :
Journal of Computational and Applied Mathematics
Journal title :
Journal of Computational and Applied Mathematics