Measurements of ordinary and stochastic differential equations

Jan Ubøe

Stochastic Processes and their Applications, 2000, vol. 89, issue 2, 315-331

Abstract: Solutions to stochastic differential equations depends on the method of approximation. In this paper we give a very simple demonstration that ordinary differential equations, too, exhibit this kind of behavior when the coefficients are measure-valued distributions. We then proceed to show that the Itô and the Stratonovich solutions can be viewed as similar cases within this framework.

Keywords: Ordinary; and; stochastic; differential; equations; Multiplication; of; generalized; functions (search for similar items in EconPapers)
Date: 2000
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