Abstract
We study linear stochastic differential equations with a random initial condition and a drift anticipating the driving Wiener process, and we give fairly general conditions under which they have a unique solution.
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References
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© 1989 Springer-Verlag
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Buckdahn, R. (1989). Anticipating linear stochastic differential equations. In: Zabczyk, J. (eds) Stochastic Systems and Optimization. Lecture Notes in Control and Information Sciences, vol 136. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0002667
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DOI: https://doi.org/10.1007/BFb0002667
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