Right-continuous solutions of systems of stochastic integral equations

Philip Protter

Journal of Multivariate Analysis, 1977, vol. 7, issue 1, 204-214

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

Keywords: Stochastic; differential; equations; stochastic; integrals; local; martingales; semimartingales; quasimartingales (search for similar items in EconPapers)
Date: 1977
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