General Method of Determination of Analytical Solutions for Stochastic Differential Equations

Víctor Nogales Bárcena ()
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Víctor Nogales Bárcena: BBVA - Banco Bilbao Vizcaya Argentaria

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Abstract: In the many different fields where Stochastic Differential Equations are of application it is of great interest to consider stochastic models associated with SDEs having an analytical strong solution under a given measure. Would it be possible to deduce the form of a general condition that established whether one arbitrary SDE with a single Brownian associated term has such a solution or not? Would it be possible to develop a general method that allowed to determine an analytical solution in all possible cases, be it a weak or a strong one? This article develops the theoretical foundations that give an affirmative answer to these questions.

Keywords: PDE; Martin-gale; Weak Solution; Wiener Process; Brownian Motion; Change of Measure; Diffusion Process; Randomness; SDE; Analytical Solution; Stochastic Process; Strong Solution (search for similar items in EconPapers)
Date: 2015-05-01
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