WHITE NOISE ANALYSIS AND STOCHASTIC FUNCTIONAL DIFFERENTIAL EQUATIONS
β Scribed by Hida, Takewki
- Book ID
- 115210531
- Publisher
- Wiley (Blackwell Publishing)
- Year
- 1988
- Tongue
- English
- Weight
- 237 KB
- Volume
- 30A
- Category
- Article
- ISSN
- 0004-9581
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract Stochastic differential equations in β^__n__^ with random coefficients are considered where one continuous driving process admits a generalized quadratic variation process. The latter and the other driving processes are assumed to possess sample paths in the fractional Sobolev space __W
The relationship between the It6 and the Stratonovich integrals used for solving stochastic differential equations with Gaussian white noise is well known. However, this relationship seems to be less clear when dealing with stochastic differential equations driven by Poisson white noise. It is shown
This is an extension of an earlier paper by the second author. In the previous work, an algorithm was derived for the moments of an homogeneous equation with noise similar to the white noise, but has small, finite correlafion time. In the present work this algorithm is extended for an inhomogeneous