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Stochastic differential equations with feedback in the differentials

  • Philip Protter
Conference paper
Part of the Lecture Notes in Mathematics book series (LNM, volume 920)

Abstract

Existence, unicity, and stability of solutions of stochastic differential equations of the type Z=M+FZ·Y+GZ·HZ are established. M and Y are semimartingales with continuous paths. The novelty here is that instantaneous feedback in the driving term is allowed.

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Copyright information

© Springer-Verlag 1982

Authors and Affiliations

  • Philip Protter
    • 1
  1. 1.Departments of Statistics and MathematicsPurdue UniversityUSA

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