Continuous Transformations and Stochastic Differential Equations
نویسندگان
چکیده
منابع مشابه
Continuous Transformations and Stochastic Differential Equations ( )
where (x(£),x(0) = 0,0fktfíl\ is a Brownian motion process. Equation (0.1) has been studied by S. Bernstein [l], J. L. Doob [5] and others [2], [ 10]. In general, the solution given here is different from that given by these authors. Equation (0.1) is almost purely formal since the derivative dx/dt fails to exist with probability one. In [2], [5], [ 10], the stochastic integral of K. Ito [7], [...
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ژورنال
عنوان ژورنال: Transactions of the American Mathematical Society
سال: 1965
ISSN: 0002-9947
DOI: 10.2307/1994257