A note on global solution to stochastic differential equation based on a semimartingale with spatial parameters (Q751723)
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scientific article; zbMATH DE number 4178263
| Language | Label | Description | Also known as |
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| English | A note on global solution to stochastic differential equation based on a semimartingale with spatial parameters |
scientific article; zbMATH DE number 4178263 |
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A note on global solution to stochastic differential equation based on a semimartingale with spatial parameters (English)
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1991
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The author gives criteria for the existence and uniqueness of a global solution to a stochastic differential equation based on a semimartingale, the spatial parameters being of the form \[ \phi_ t=x_ 0+\int^{t}_{0}F(\phi_ s,d_ s). \] The results include cases where Khasminskij's theorem is inapplicable, and three examples illustrate the results.
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existence and uniqueness of a global solution
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stochastic differential equation
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semimartingale
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