Right-continuous solutions of systems of stochastic integral equations

Unique solutions are shown to exist for systems of stochastic integral equations which allow right-continuous semimartingales (also known as quasimartingales) as differentials.

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Year of publication:	1977
Authors:	Protter, Philip
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 7.1977, 1, p. 204-214
Publisher:	Elsevier
Keywords:	Stochastic differential equations stochastic integrals local martingales semimartingales quasimartingales

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

Persistent link: https://www.econbiz.de/10005152966