On the stochastic integral equations with non-Lipschitz coefficients

研究成果: Article同行評審

摘要

Consider the stochastic integral equation (S.I.E.) X(t) = H(t)+ ∫0+tf(X(s-))dZs, t ∈ R+ (0.1) where f satisfies some non-Lipschitz condition and H,Z are ℱt- semimartingales, continuous or discontinuous, on some probability space (Ω, ℱ,{ℱt}t∈R+,P). We prove that if f satisfies Condition H1 or H2 (defined in Sec. 0), then both the existence and the uniqueness of the solutions of (0.1) hold.

原文English
頁(從 - 到)283-298
頁數16
期刊Stochastic Analysis and Applications
20
發行號2
DOIs
出版狀態Published - 2002 一月 1

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

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