Abstract
In the present section we introduce the notion of a stochastic differential equation and prove some general theorems concerning the existence and uniqueness of solutions of these equations. For this purpose it is necessary to generalize the notion of a stochastic integral introduced above. Generally speaking, our approach to stochastic differential equations is based on the following considerations.
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© 1979 Springer-Verlag New York Inc.
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Gihman, I.I., Skorohod, A.V. (1979). Stochastic Differential Equations. In: The Theory of Stochastic Processes III. Grundlehren der mathematischen Wissenschaften, vol 232. Springer, New York, NY. https://doi.org/10.1007/978-1-4615-8065-2_2
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DOI: https://doi.org/10.1007/978-1-4615-8065-2_2
Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4615-8067-6
Online ISBN: 978-1-4615-8065-2
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