Existence and Uniqueness of Solution for a Class of Stochastic Differential Equations

A class of stochastic differential equations given by dx(t) = f(x(t))dt + g(x(t))dW(t),  x(t (0)) = x (0),  t (0) ≤ t ≤ T < +∞, are investigated. Upon making some suitable assumptions, the existence and uniqueness of solution for the equations are obtained. Moreover, the existence and uniqueness...

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Detalles Bibliográficos
Autores principales: Cao, Junfei, Huang, Zaitang, Zeng, Caibin
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Hindawi Publishing Corporation 2013
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC3793590/
https://www.ncbi.nlm.nih.gov/pubmed/24174909
http://dx.doi.org/10.1155/2013/132923
Descripción
Sumario:A class of stochastic differential equations given by dx(t) = f(x(t))dt + g(x(t))dW(t),  x(t (0)) = x (0),  t (0) ≤ t ≤ T < +∞, are investigated. Upon making some suitable assumptions, the existence and uniqueness of solution for the equations are obtained. Moreover, the existence and uniqueness of solution for stochastic Lorenz system, which is illustrated by example, are in good agreement with the theoretical analysis.

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