Existence, Uniqueness, and Upper Estimates for Solutions of Mcshane Type Stochastic Differential Systems
- 1 January 1986
- journal article
- research article
- Published by Taylor & Francis in Stochastic Analysis and Applications
- Vol. 4 (4) , 409-429
- https://doi.org/10.1080/07362998608809101
Abstract
A system of stochastic differential equations of McShane type is studied. The Schauder fixed point theorem is applied to obtain existence of solutions and Osgood type existence and uniqueness results are derived using successive approximations. The noise processes are not required to be martingales or quasimartingales. As a byproduct of our approach, upper estimates for solutions of McShane type stochastic differential systems are obtainedKeywords
This publication has 3 references indexed in Scilit:
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- Stochastic differential equationsJournal of Multivariate Analysis, 1975
- Stochastic Integrals and Stochastic Functional EquationsSIAM Journal on Applied Mathematics, 1969