Stochastic Differential Equations

  • Gopinath Kallianpur
  • Rajeeva L. Karandikar

Abstract

In this chapter, we consider the stochastic differential equations of diffusion type and present a result on the existence and uniqueness of solution. We also prove a version of the Feynman—Kac formula.

Keywords

Filtration 

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Copyright information

© Springer Science+Business Media New York 2000

Authors and Affiliations

  • Gopinath Kallianpur
    • 1
  • Rajeeva L. Karandikar
    • 2
  1. 1.Department of StatisticsUniversity of North CarolinaChapel HillUSA
  2. 2.Department of Mathematics & StatisticsIndian Statistical InstituteNew DehliIndia

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