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Teoriya Veroyatnostei i ee Primeneniya, 1995, Volume 40, Issue 4, Pages 903–907 (Mi tvp3684)  
Short Communications

On a type of stochastic differential equations with anticipation

A. A. Dorogovtsev

Institute of Mathematics, Ukrainian National Academy of Sciences
Full-text PDF (326 kB)
Abstract: We consider equations analogous to Itф stochastic differential equations but which contain the stochastic derivative instead of the stochastic differential. We prove the existence of a solution and also the preservation of peculiarities of equations that contain an extended stochastic integral.
Keywords: stochastic derivative, extended stochastic integral, equations with anticipation.
Received: 12.05.1993
English version:
Theory of Probability and its Applications, 1995, Volume 40, Issue 4, Pages 753–756
DOI: https://doi.org/10.1137/1140086
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: A. A. Dorogovtsev, “On a type of stochastic differential equations with anticipation”, Teor. Veroyatnost. i Primenen., 40:4 (1995), 903–907; Theory Probab. Appl., 40:4 (1995), 753–756
Citation in format AMSBIB
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\pages 903--907
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\transl
\jour Theory Probab. Appl.
\yr 1995
\vol 40
\issue 4
\pages 753--756
\crossref{https://doi.org/10.1137/1140086}
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