Advertisement

Existence and uniqueness for stochastic differential equations

  • Jean Jacod
Part II: Research Reports
Part of the Lecture Notes in Control and Information Sciences book series (LNCIS, volume 16)

Keywords

Stochastic Differential Equation Random Measure Maximal Solution Predictable Process Poisson Random Measure 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. 1.
    C. DELLACHERIE: Capacités et processus stochastiques. Springer Verlag: Berlin, 1972.Google Scholar
  2. 2.
    C. DOLEANS-DADE: Existence and unicity of solution of stochastic differential equations. Z. für Wahr. 36, 93–102, 1976.Google Scholar
  3. 3.
    L. GALTCHOUK: The structure of a class of martingales. Proc. School-Seminar on random processes (Druskininkai), Vilnius, Acad. Sci. Lit. SSR, I, 7–32, 1975.Google Scholar
  4. 4.
    L. GALTCHOUK: Existence and uniqueness for stochastic differential equations with martingales and random measures. Proc. 2d Vilnius Conf. Proba. Math. Statist., 1977.Google Scholar
  5. 5.
    I.I. GIHMAN, A.V. SKOROKHOD: Stochastic differential equations. Springer Verlag: Berlin, 1972.Google Scholar
  6. 6.
    J. JACOD: Un théorème de représentation pour les martingales discontinues. Z. für Wahr. 34, 225–244, 1976.Google Scholar
  7. 7.
    J. JACOD: Calcul stochastique et problèmes de martingales. To appear.Google Scholar
  8. 8.
    N. KAZAMAKI: On a stochastic integral equation with respect to a weak martingale. Tôhoku Math. J. 26, 53–63, 1974.Google Scholar
  9. 9.
    M. METIVIER, J. PELLAUMAIL: A basic course on stochastic integration. Sém. Proba. Rennes 77, t. I, 1978.Google Scholar
  10. 10.
    M. METIVIER, J. PELLAUMAIL: On a stopped Doob's inequality and general stochastic equations. To appear (1978); cf. C.R.A.S. (A), 285, 685–688 and 921–923.Google Scholar
  11. 11.
    M. METIVIER, G. PISTONE: Une formule d'isométrie pour l'intégrale stochastique hilbertienne et équations d'évolution linéaires stochastiques. Z. für Wahr. 33, 1–18, 1975.Google Scholar
  12. 12.
    P.A. MEYER: Un cours sur les intégrales stochastiques. Sém. Proba. Strasbourg X, Lect. Notes Math. 581, Springer Verla: Berlin: 1976.Google Scholar
  13. 13.
    P.E. PROTTER: On the existence, uniqueness, convergence and explosions of solutions of systems of stochastic integral equations. Ann. Proba. 5, 243–261, 1977.Google Scholar
  14. 14.
    A.V. SKOROKHOD: Studies in the theory of random processes. Addison-Wesley: Reading, 1965.Google Scholar

Copyright information

© Springer-Verlag 1979

Authors and Affiliations

  • Jean Jacod
    • 1
  1. 1.Université de RennesFrance

Personalised recommendations