On the existence and uniqueness of a solution of a linear stochastic differential equation with respect to a logarithmic process
We study the problem of existence and uniqueness of a solution of a linear stochastic differential equation with respect to a logarithmic process. For the conditional mathematical expectation of a solution, we obtain a partial differential equation.
Збережено в:
| Дата: | 1997 |
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| Автори: | , |
| Формат: | Стаття |
| Мова: | Російська Англійська |
| Опубліковано: |
Institute of Mathematics, NAS of Ukraine
1997
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| Онлайн доступ: | https://umj.imath.kiev.ua/index.php/umj/article/view/5075 |
| Теги: |
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| Назва журналу: | Ukrains’kyi Matematychnyi Zhurnal |
| Завантажити файл: |  |
Репозитарії
Ukrains’kyi Matematychnyi Zhurnal| Резюме: | We study the problem of existence and uniqueness of a solution of a linear stochastic differential equation with respect to a logarithmic process. For the conditional mathematical expectation of a solution, we obtain a partial differential equation. |
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