Abstract
Solutions of the Itô stochastic differential equation in a random environment are considered. The random environment is formed by the generalized telegraph process. It is proved that the initial problem is equivalent to a system of two stochastic differential equations with nonrandom coefficients. The first equation is the Itô equation, and the initial process is its solution. The second equation is an equation with Poisson process, and its solution is a generalized telegraph process. The theorems of existence and uniqueness of strong and weak solutions are proved.
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Translated from Ukrains’kiǐ Matematychnyǐ Visnyk, Vol. 14, No. 3, pp. 370–398 July–September, 2017.
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Makhno, S.Y., Mel’nik, S.A. Stochastic differential equation in a random environment. J Math Sci 231, 48–69 (2018). https://doi.org/10.1007/s10958-018-3805-1
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DOI: https://doi.org/10.1007/s10958-018-3805-1