National Changhua University of Education Institutional Repository : Item 987654321/14065

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NCUEIR > College of Science > math > Periodical Articles > Item 987654321/14065

Please use this identifier to cite or link to this item: http://ir.ncue.edu.tw/ir/handle/987654321/14065

Title:	On the Stochastic Integral Equations with Non-lipschitz Coefficients
Authors:	Cheng, Tsung-Lin
Contributors:	數學系
Keywords:	Stochastic integral equation;Semimartingale;AMS Subject Classification: 60G44
Date:	2002
Issue Date:	2012-09-10T06:01:15Z
Publisher:	Taylo&Francis
Abstract:	Consider the stochastic integral equation (S.I.E.) where f satisfies some non-Lipschitz condition and H,Z are F t -semimartingales, continuous or discontinuous, on some probability space (Ω,F,{F t } tR + ,P). We prove that if f satisfies Condition H 1 or H 2 (defined in Sec. 0), then both the existence and the uniqueness of the solutions of 1 hold.
Relation:	Stochastic Analysis and Applications, 20(2): 283-298
Appears in Collections:	[math] Periodical Articles

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