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Teoriya Veroyatnostei i ee Primeneniya, 1974, Volume 19, Issue 1, Pages 169–173
(Mi tvp2770)
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This article is cited in 1 scientific paper (total in 1 paper)
Short Communications
On the existence and uniqueness of a solution of a stochastic differential equations with martingale differential
G. L. Kulinič Kiev
Abstract:
Under some conditions, the existence and uniqueness of a solution of the equation
$$
d\xi(t)=a(t,\xi(t))dt+\sum_{k=1}^rb_k(t,\xi(t))d\zeta_k(t)+\int_{R^m}f(t,\xi(t),u)\widetilde\nu(dt,du)
$$
are proved, where $\zeta_k(t)$, $k=\overline{1,r}$, are continuous martingales, $\widetilde\nu(t,A)=\nu(t,A)-t\Pi(A)$ and $\nu(t,A)$ is a Poisson measure, $\mathbf M\nu(t,A)=t\Pi(A)$.
Received: 28.10.1972
Citation:
G. L. Kulinič, “On the existence and uniqueness of a solution of a stochastic differential equations with martingale differential”, Teor. Veroyatnost. i Primenen., 19:1 (1974), 169–173; Theory Probab. Appl., 19:1 (1974), 168–171
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https://www.mathnet.ru/eng/tvp2770 https://www.mathnet.ru/eng/tvp/v19/i1/p169
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Abstract page: | 146 | Full-text PDF : | 76 |
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