Measurements of ordinary and stochastic differential equations

[摘要] Solutions to stochastic differential equations depends on the method of approximation. In this paper we give a very simple demonstration that ordinary differential equations, too, exhibit this kind of behavior when the coefficients are measure-valued distributions. We then proceed to show that the Ito and the Stratonovich solutions can be viewed as similar cases within this framework. (C) 2000 Elsevier Science B.V. All rights reserved.

[发布日期] 2000-10-01

[关键词] ordinary and stochastic differential equations;multiplication of generalized functions