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3 matches found
XIV: 24, 209-219, LNM 784 (1980)
Remarques sur l'intégrale stochastique (Stochastic calculus)
This is an exposition of stochastic integrals and stochastic differential equations for Banach space valued processes along the lines of Métivier-Pellaumail Stochastic Integration (1980), the class of semimartingales being defined by the Métivier-Pellaumail inequality (1413)
Keywords: Stochastic integrals, Stochastic differential equations, Métivier-Pellaumail inequality
Nature: Exposition
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XV: 38, 561-586, LNM 850 (1981)
Solutions faibles et semi-martingales (Stochastic calculus, General theory of processes)
From the author's summary: ``we consider a stochastic differential equation $dX=a(X)\,dZ$ where $Z$ is a semimartingale and $a$ is a previsible functional which is continuous for the uniform norm. We prove the existence of a weak solution for such an equation''. The important point is the definition of a weak solution: it turns out to be a ``fuzzy process'' in the sense of 1536, i.e., a fuzzy r.v. taking values in the Polish space of cadlag sample functions
Keywords: Stochastic differential equations, Weak solutions, Fuzzy random variables
Nature: Original
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XVI: 42, 469-489, LNM 920 (1982)
Règle maximale
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