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Key words: stochastic differential equations, Brownian motion, Law of the Iterated Logarithm, Motoo’s theorem, stochastic comparison principle, stationary processes,
This theory applies to a large class of important equations, including equations of nonlinear filtering, stochastic heat equation with nonlinear noise term, etc... In (1.1)
In this paper we establish a stochastic formula to calculate the symbol of a class of Markov processes which we then apply to the solutions of certain stochastic differential
Nualart: Weak solution for stochastic differential equations driven by a fractional Brownian motion with parameter H > 1/2 and discontinuous drift preprint IMUB N o 319.
Abstract: In this paper we give a solution for the one-dimensional reflected backward stochastic differential equation when the noise is driven by a Brownian motion and an
Bensoussan, Some existence results for stochastic partial differential equa- tions , in Stochastic Partial Differential Equations and Applications, G. Tubaro, eds.,
Keywords Wiener space, Sobolev space, Stochastic integral, Fractional Brownian Motion, Itˆ o’s formula.. AMS Subject Classification (1991)
In an earlier paper [4] by the first author, the random motion of a rigid body is studied using a stochastic differential equation on the rotation group SO(3) driven by a
