Abstract
We explore in this chapter questions of existence and uniqueness for solutions to stochastic differential equations and offer a study of their properties. This endeavor is really a study of diffusion processes. Loosely speaking, the term diffusion is attributed to a Markov process which has continuous sample paths and can be characterized in terms of its infinitesimal generator.
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© 1988 Springer-Verlag New York Inc.
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Karatzas, I., Shreve, S.E. (1988). Stochastic Differential Equations. In: Brownian Motion and Stochastic Calculus. Graduate Texts in Mathematics, vol 113. Springer, New York, NY. https://doi.org/10.1007/978-1-4684-0302-2_5
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DOI: https://doi.org/10.1007/978-1-4684-0302-2_5
Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4684-0304-6
Online ISBN: 978-1-4684-0302-2
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