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Stochastic differential equations with feedback in the differentials

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Séminaire de Probabilités XVI 1980/81

Part of the book series: Lecture Notes in Mathematics ((SEMPROBAB,volume 920))

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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.

Supported in part by NSF Grant #0464-50-13955.

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Bibliographie

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Authors and Affiliations

  1. Departments of Statistics and Mathematics, Purdue University, USA

    Philip Protter

Authors
  1. Philip Protter
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Editor information

Jacques Azéma Marc Yor

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© 1982 Springer-Verlag

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Protter, P. (1982). Stochastic differential equations with feedback in the differentials. In: Azéma, J., Yor, M. (eds) Séminaire de Probabilités XVI 1980/81. Lecture Notes in Mathematics, vol 920. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0092808

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  • DOI: https://doi.org/10.1007/BFb0092808

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-11485-7

  • Online ISBN: 978-3-540-39158-6

  • eBook Packages: Springer Book Archive

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