| Status | 已發表Published |
| Estimates on moments of the solutions to stochastic differential equations with respect to martingales in the plane. | |
Liang, Z. ; Zheng, M.
| |
| 1996-06-01 | |
| Source Publication | Stochastic processes and their applications
 |
| ISSN | 0304-4149 |
| Pages | 263-276 |
| Abstract | Let M = {Mz,z C R2+ } be a two-parameter strong martingale, A be a two-parameter increasing process on R2+ = [0, +~) x [0, +~). Consider the following stochastic differential equations in the plane: Xz : Xo + f a(¢,X)dM¢ + f b(¢,X)dA¢ • I Rz JRz for z E R2+. Under some assumptions on the coefficients a, b and the integrators M, A, we prove the existence and uniqueness of solutions for the equations, and obtain some estimates on moments of solution. |
| Keyword | Two-parameter stochastic differential equation Two-parameter strong martingale Two-parameter Ito's formula Gronwall's inequality |
| URL | View the original |
| Language | 英語English |
| The Source to Article | PB_Publication |
| PUB ID | 25688 |
| Document Type | Journal article |
| Collection | DEPARTMENT OF ECONOMICS |
| Corresponding Author | Liang, Z. |
| Recommended Citation GB/T 7714 | Liang, Z.,Zheng, M.. Estimates on moments of the solutions to stochastic differential equations with respect to martingales in the plane.[J]. Stochastic processes and their applications, 1996, 263-276. |
| APA | Liang, Z.., & Zheng, M. (1996). Estimates on moments of the solutions to stochastic differential equations with respect to martingales in the plane.. Stochastic processes and their applications, 263-276. |
| MLA | Liang, Z.,et al."Estimates on moments of the solutions to stochastic differential equations with respect to martingales in the plane.".Stochastic processes and their applications (1996):263-276. |
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