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Linear stochastic differential equations in the dual of a multi-Hilbertian space
L. Gawareckia, V. Mandrekarb, B. Rajeevc a Department of Mathematics, Kettering University, 1700 W.Third Ave., Flint, MI 48504, U.S.A.
b Department of Statistics and Probability, Michigan State University, East Lansing, MI, U.S.A.
c Stat.Math.Unit, Indian Statistical Institute, Bangalore, India
Аннотация:
We prove the existence and uniqueness of strong solutions for linear stochastic differential
equations in the space dual to a multi–Hilbertian space driven by a finite
dimensional Brownian motion under relaxed assumptions on the coefficients. As an
application, we consider equtions in $S'$
with coefficients which are differential operators
violating the typical growth and monotonicity conditions.
Ключевые слова:
Infinite dimensional stochastic differential equations, multi-Hilbertian spaces,
existence, uniqueness, monotonicity.
Образец цитирования:
L. Gawarecki, V. Mandrekar, B. Rajeev, “Linear stochastic differential equations in the dual of a multi-Hilbertian space”, Theory Stoch. Process., 14(30):2 (2008), 28–34
Образцы ссылок на эту страницу:
https://www.mathnet.ru/rus/thsp141 https://www.mathnet.ru/rus/thsp/v14/i2/p28
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Страница аннотации: | 97 | PDF полного текста: | 42 | Список литературы: | 18 |
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