A singular stochastic integral equation
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- by David Nualart and Marta Sanz PDF
- Proc. Amer. Math. Soc. 86 (1982), 139-142 Request permission
Abstract:
This note is devoted to the discussion of the stochastic differential equation $XdX + YdY = 0$, $X$ and $Y$ being continuous local martingales. A method to construct solutions of this equation is given.References
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Additional Information
- © Copyright 1982 American Mathematical Society
- Journal: Proc. Amer. Math. Soc. 86 (1982), 139-142
- MSC: Primary 60H20; Secondary 60H05
- DOI: https://doi.org/10.1090/S0002-9939-1982-0663883-5
- MathSciNet review: 663883