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.
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| Date: | 1997 |
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| Main Authors: | , |
| Format: | Article |
| Language: | Russian English |
| Published: |
Institute of Mathematics, NAS of Ukraine
1997
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| Online Access: | https://umj.imath.kiev.ua/index.php/umj/article/view/5075 |
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| Journal Title: | Ukrains’kyi Matematychnyi Zhurnal |
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Ukrains’kyi Matematychnyi Zhurnal| _version_ | 1860511269419745280 |
|---|---|
| author | Pilipenko, A. Yu. Пилипенко, А. Ю. Пилипенко, А. Ю. |
| author_facet | Pilipenko, A. Yu. Пилипенко, А. Ю. Пилипенко, А. Ю. |
| author_sort | Pilipenko, A. Yu. |
| baseUrl_str | https://umj.imath.kiev.ua/index.php/umj/oai |
| collection | OJS |
| datestamp_date | 2020-03-18T21:24:02Z |
| description | 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. |
| first_indexed | 2026-03-24T03:10:12Z |
| format | Article |
| fulltext |
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| id | umjimathkievua-article-5075 |
| institution | Ukrains’kyi Matematychnyi Zhurnal |
| keywords_txt_mv | keywords |
| language | rus English |
| last_indexed | 2026-03-24T03:10:12Z |
| publishDate | 1997 |
| publisher | Institute of Mathematics, NAS of Ukraine |
| record_format | ojs |
| resource_txt_mv | umjimathkievua/e8/1ed0d6eeafcddfb25b79bd664bde56e8.pdf |
| spelling | umjimathkievua-article-50752020-03-18T21:24:02Z On the existence and uniqueness of a solution of a linear stochastic differential equation with respect to a logarithmic process О существовании и единственности решения линейного стохастического дифференциального уравнения по логарифмическому процессу Pilipenko, A. Yu. Пилипенко, А. Ю. Пилипенко, А. Ю. 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. Розглядається питання про існування і єдинісгь розв'язку лінійної о стохастичного диференціального рівняння за логарифмічним процесом. Для умовного математичного сподівання розв'язку одержано диференціальне рінняния з частинними похідними. Institute of Mathematics, NAS of Ukraine 1997-06-25 Article Article application/pdf https://umj.imath.kiev.ua/index.php/umj/article/view/5075 Ukrains’kyi Matematychnyi Zhurnal; Vol. 49 No. 6 (1997); 863–871 Український математичний журнал; Том 49 № 6 (1997); 863–871 1027-3190 rus en https://umj.imath.kiev.ua/index.php/umj/article/view/5075/6847 https://umj.imath.kiev.ua/index.php/umj/article/view/5075/6848 Copyright (c) 1997 Pilipenko A. Yu. |
| spellingShingle | Pilipenko, A. Yu. Пилипенко, А. Ю. Пилипенко, А. Ю. On the existence and uniqueness of a solution of a linear stochastic differential equation with respect to a logarithmic process |
| title | On the existence and uniqueness of a solution of a linear stochastic differential equation with respect to a logarithmic process |
| title_alt | О существовании и единственности решения линейного стохастического дифференциального уравнения по логарифмическому процессу |
| title_full | On the existence and uniqueness of a solution of a linear stochastic differential equation with respect to a logarithmic process |
| title_fullStr | On the existence and uniqueness of a solution of a linear stochastic differential equation with respect to a logarithmic process |
| title_full_unstemmed | On the existence and uniqueness of a solution of a linear stochastic differential equation with respect to a logarithmic process |
| title_short | On the existence and uniqueness of a solution of a linear stochastic differential equation with respect to a logarithmic process |
| title_sort | on the existence and uniqueness of a solution of a linear stochastic differential equation with respect to a logarithmic process |
| url | https://umj.imath.kiev.ua/index.php/umj/article/view/5075 |
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