On the existence and uniqueness of a solution of a linear stochastic differential equation with respect to a logarithmic process
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We study the problem of existence and uniqueness of a solution of a linear stochastic differential equation with respect to a logarithmic process. For the conditional mathematical expectation of a solution, we obtain a partial differential equation.
KeywordsWiener Process Logarithmic Derivative Wiener Measure Stochastic Differential Equa Linear Stochastic Differential Equation
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