National Changhua University of Education Institutional Repository : Item 987654321/14065
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题名: On the Stochastic Integral Equations with Non-lipschitz Coefficients
作者: Cheng, Tsung-Lin
贡献者: 數學系
关键词: Stochastic integral equation;Semimartingale;AMS Subject Classification: 60G44
日期: 2002
上传时间: 2012-09-10T06:01:15Z
出版者: Taylo&Francis
摘要: 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.
關聯: Stochastic Analysis and Applications, 20(2): 283-298
显示于类别:[數學系] 期刊論文

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