LINEAR STOCHASTIC DIFFERENTIAL-EQUATIONS AND WICK PRODUCTS

被引：15

作者：

BUCKDAHN, R ^{[1
]}

NUALART, D ^{[1
]}

机构：

[1] UNIV BARCELONA,FAC MATEMAT,E-08007 BARCELONA,SPAIN

来源：

PROBABILITY THEORY AND RELATED FIELDS | 1994年 / 99卷 / 04期

关键词：

Mathematics Subject Classification: 60H10; 60H07;

D O I：

10.1007/BF01206230

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We establish the existence and uniqueness of the solution to a multidimensional linear Skorohod stochastic differential equation with deterministic diffusion matrix, using the notions of Wick product and S-transform. If the diffusion matrix is constant and has real eigenvalues, the solution is a stochastic process with moments of all orders, provided that the initial condition is differentiable up to a suitable order. The case of a diffusion matrix in the first Wiener chaos is discussed in the last section.

引用

页码：501 / 526

页数：26