On solutions to Itô stochastic differential equations (Q1408412)
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scientific article; zbMATH DE number 1981533
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On solutions to Itô stochastic differential equations |
scientific article; zbMATH DE number 1981533 |
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On solutions to Itô stochastic differential equations (English)
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15 September 2003
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This paper presents general conditions under which a stochastic differential equation possesses a strong solution in an explicit form as a functional of a Wiener process. Necessary and sufficient conditions for the non-explosion of the solution are given.
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Itô's equation
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stochastic ordinary differential equations
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strong solution
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explosion time
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