XI: 24, 376-382, LNM 581 (1977)
DOLÉANS-DADE, Catherine;
MEYER, Paul-André
Équations différentielles stochastiques (
Stochastic calculus)
This is an improved and simplified exposition of the existence and uniqueness theorem for solutions of stochastic differential equations with respect to semimartingales, as proved by the first author in
Zeit. für W-theorie, 36, 1976 and by Protter in
Ann. Prob. 5, 1977. The theory has become now so classical that the paper has only historical interest
Keywords: Stochastic differential equations,
SemimartingalesNature: Exposition,
Original additions
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