Abstract
In this chapter, we consider stochastic differential equations (SDE’s) of the form
, or equivalently in coordinate form
where B = (B 1 …, B r ) is an r-dimensional Brownian motion (r ≥ 1) starting from the origin, and σ : IRd → IRd ⊗ IRr and b: IRd → IRd are Borel measurable functions. Here IRd ⊗ IRr, d ≥ 1, r ≥ 1, denotes the space of d × r real-valued matrices with the norm
for A ∈ IRd ⊗ IRr.
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© 1990 Birkhäuser Boston
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Chung, K.L., Williams, R.J. (1990). Stochastic Differential Equations. In: Introduction to Stochastic Integration. Probability and Its Applications. Birkhäuser Boston. https://doi.org/10.1007/978-1-4612-4480-6_10
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DOI: https://doi.org/10.1007/978-1-4612-4480-6_10
Publisher Name: Birkhäuser Boston
Print ISBN: 978-1-4612-8837-4
Online ISBN: 978-1-4612-4480-6
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