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 |
| Download file: |  |