Estimates on moments of the solutions to stochastic differential equations with respect to martingales in the plane

Zong-xia Liang and Ming-li Zheng

Stochastic Processes and their Applications, 1996, vol. 62, issue 2, 263-276

Abstract: Let M = {Mz, z [epsilon] R2+} be a two-parameter strong martingale, A be a two-parameter increasing process on R2+ = [0, + [infinity]) x [0, + [infinity]). Consider the following stochastic differential equations in the plane: for z [epsilon] 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.

Keywords: 60H15; 60H20; Two-parameter; stochastic; differential; equation; Two-parameter; strong; martingale; Two-parameter; Ito's; formula; Gronwall's; inequality (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (2)

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