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...

Descripción completa

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
_version_ 1782287082617569280
author Cao, Junfei
Huang, Zaitang
Zeng, Caibin
author_facet Cao, Junfei
Huang, Zaitang
Zeng, Caibin
author_sort Cao, Junfei
collection PubMed
description 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.
format Online
Article
Text
id pubmed-3793590
institution National Center for Biotechnology Information
language English
publishDate 2013
publisher Hindawi Publishing Corporation
record_format MEDLINE/PubMed
spelling pubmed-37935902013-10-30 Existence and Uniqueness of Solution for a Class of Stochastic Differential Equations Cao, Junfei Huang, Zaitang Zeng, Caibin ScientificWorldJournal Research Article 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. Hindawi Publishing Corporation 2013-09-19 /pmc/articles/PMC3793590/ /pubmed/24174909 http://dx.doi.org/10.1155/2013/132923 Text en Copyright © 2013 Junfei Cao et al. https://creativecommons.org/licenses/by/3.0/ This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
spellingShingle Research Article
Cao, Junfei
Huang, Zaitang
Zeng, Caibin
Existence and Uniqueness of Solution for a Class of Stochastic Differential Equations
title Existence and Uniqueness of Solution for a Class of Stochastic Differential Equations
title_full Existence and Uniqueness of Solution for a Class of Stochastic Differential Equations
title_fullStr Existence and Uniqueness of Solution for a Class of Stochastic Differential Equations
title_full_unstemmed Existence and Uniqueness of Solution for a Class of Stochastic Differential Equations
title_short Existence and Uniqueness of Solution for a Class of Stochastic Differential Equations
title_sort existence and uniqueness of solution for a class of stochastic differential equations
topic Research Article
url 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
work_keys_str_mv AT caojunfei existenceanduniquenessofsolutionforaclassofstochasticdifferentialequations
AT huangzaitang existenceanduniquenessofsolutionforaclassofstochasticdifferentialequations
AT zengcaibin existenceanduniquenessofsolutionforaclassofstochasticdifferentialequations

Ejemplares similares