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Proceedings of the American Mathematical Society

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A singular stochastic integral equation


Authors: David Nualart and Marta Sanz
Journal: Proc. Amer. Math. Soc. 86 (1982), 139-142
MSC: Primary 60H20; Secondary 60H05
MathSciNet review: 663883
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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 [Enhancements On Off] (What's this?)

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Additional Information

DOI: https://doi.org/10.1090/S0002-9939-1982-0663883-5
Keywords: Stochastic integral, stochastic differential equations, (local) martingale
Article copyright: © Copyright 1982 American Mathematical Society