Some remarks on a linear stochastic differential equation

DOI10.1016/0167-7152(87)90046-0zbMath0613.60054OpenAlexW1968616080WikidataQ115363784 ScholiaQ115363784MaRDI QIDQ1819467

David Nualart

Publication date: 1987

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(87)90046-0

zbMATH Keywords

two-parameter Wiener process

Mathematics Subject Classification ID

Random fields (60G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (5)

A diffusion approximation result for two parameter processes ⋮ Random nonlinear wave equations: Smoothness of the solutions ⋮ Dependence on the boundary condition for linear stochastic differential equations in the plane ⋮ Hyperbolic Stochastic Partial Differential Equations with Additive Fractional Brownian Sheet ⋮ On two-parameter non-degenerate Brownian martingales

Cites Work

• Existence of strong solutions for stochastic differential equations in the plane
• Estimate on moments of the solutions to stochastic differential equations in the plane
• Stochastic equations of hyperbolic type and a two-parameter Stratonovich calculus
• Stochastic integrals in the plane
• Differentiation formulas for stochastic integrals in the plane
• Multiple Wiener integral
• Unnamed Item

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