2017
Том 69
№ 6

All Issues

On the existence and uniqueness of a solution of a linear stochastic differential equation with respect to a logarithmic process

Pilipenko A. Yu.

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Abstract

We study the problem of existence and uniqueness of a solution of a linear stochastic differential equation with respect to a logarithmic process. For the conditional mathematical expectation of a solution, we obtain a partial differential equation.

English version (Springer): Ukrainian Mathematical Journal 49 (1997), no. 6, pp 966-975.

Citation Example: Pilipenko A. Yu. On the existence and uniqueness of a solution of a linear stochastic differential equation with respect to a logarithmic process // Ukr. Mat. Zh. - 1997. - 49, № 6. - pp. 863–871.

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