On solutions to Ito stochastic differential equations

[摘要] In this paper we obtain general conditions under which stochastic differential equations possess a strong solution representable in an explicit form as a functional of the Wiener process. Particular interest bears the problem of determining conditions that guarantee non-explosion of the solution. The necessary as well as sufficient condition is derived. (C) 2003 Elsevier B.V. All rights reserved.

[发布日期] 2003-09-01

[效力级别]  Proceedings Paper

[关键词] Ito's equation;stochastic ordinary differential equations