A singular stochastic integral equation
This note is devoted to the discussion of the stochastic differential equation $ XdX + YdY = 0$, $ X$ and $ Y$ being continuous local martingales. A method to construct solutions of this equation is given.
| Autores: | , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 1982 |
| País: | España |
| Institución: | Universidad de Barcelona |
| Repositorio: | Dipòsit Digital de la UB |
| OAI Identifier: | oai:diposit.ub.edu:2445/7623 |
| Acceso en línea: | https://hdl.handle.net/2445/7623 |
| Access Level: | acceso abierto |
| Palabra clave: | Anàlisi estocàstica Integrals estocàstiques Stochastic analysis Stochastic integrals |
| Sumario: | This note is devoted to the discussion of the stochastic differential equation $ XdX + YdY = 0$, $ X$ and $ Y$ being continuous local martingales. A method to construct solutions of this equation is given. |
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