Stochastic Differential Equations with Random Coefficients
نویسندگان
چکیده
منابع مشابه
Stochastic differential equations with random coefficients
In this paper we establish the existence and uniqueness of a solution for different types of stochastic differential equation with random initial conditions and random coefficients. The stochastic integral is interpreted as a generalized Stratonovich integral, and the techniques used to derive these results are mainly based on the path properties of the Brownian motion, and the definition of th...
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An optimal stopping problem for stochastic differential equations with random coefficients is considered. The dynamic programming principle leads to a Hamiltion–Jacobi–Bellman equation, which, for the current case, is a backward stochastic partial differential variational inequality (BSPDVI, for short) for the value function. Well-posedness of such a BSPDVI is established, and a verification th...
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We prove an existence and uniqueness result for backward stochastic differential equations whose coefficients satisfy a stochastic monotonicity condition. In this setting, we deal with both constant and random terminal times. In the random case, the terminal time is allowed to take infinite values. But in aMarkovian framework, that is coupled with a forward SDE, our result provides a probabilis...
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ژورنال
عنوان ژورنال: Bernoulli
سال: 1997
ISSN: 1350-7265
DOI: 10.2307/3318589