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.
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References
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Additional information
Kiev University, Kiev. Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 49, No. 6, pp. 863–871, June, 1997.
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Pilipenko, A.Y. On the existence and uniqueness of a solution of a linear stochastic differential equation with respect to a logarithmic process. Ukr Math J 49, 966–975 (1997). https://doi.org/10.1007/BF02513440
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DOI: https://doi.org/10.1007/BF02513440