Existence and uniqueness theorem for stochastic differential equations with self-exciting switching (Q541342)
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scientific article; zbMATH DE number 5904633
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Existence and uniqueness theorem for stochastic differential equations with self-exciting switching |
scientific article; zbMATH DE number 5904633 |
Statements
Existence and uniqueness theorem for stochastic differential equations with self-exciting switching (English)
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7 June 2011
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Summary: We introduce a new kind of equation, the stochastic differential equation with self-exciting switching. Firstly, we give some basic properties for this kind of equation, and then, we give a sufficient condition which guarantees the existence and uniqueness of a solution.
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self-exciting switching
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stochastic differential equations
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existence and uniqueness theorem
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