Remarks on the equation dXt = a(Xt)dBt

Cristina Betz and Henryk Gzyl ()

Stochastic Processes and their Applications, 1981, vol. 11, issue 3, 313-315

Abstract: We prove that if a global solution of the equation dXt = a(Xt) dBt, X0 = x exists for some x [epsilon] and [integral operator][infinity]0 a2(Xs)ds = [infinity], then one must have a [not equal to] 0 a.e.

Keywords: Brownian; motion; time; change; local; martingale (search for similar items in EconPapers)
Date: 1981
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