Measurements of ordinary and stochastic differential equations

Solutions to stochastic differential equations depends on the method of approximation. In this paper we give a very simple demonstration that ordinary differential equations, too, exhibit this kind of behavior when the coefficients are measure-valued distributions. We then proceed to show that the Itô and the Stratonovich solutions can be viewed as similar cases within this framework.

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Year of publication:	2000
Authors:	Ubøe, Jan
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 89.2000, 2, p. 315-331
Publisher:	Elsevier
Keywords:	Ordinary and stochastic differential equations Multiplication of generalized functions

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008872960