Some remarks on a linear stochastic differential equation

David Nualart

Statistics & Probability Letters, 1987, vol. 5, issue 3, 231-234

Abstract: In this note we study the properties of the solution of a two-parameter linear stochastic differential equation with constant coefficients. We prove, in particular, that this solution may be negative with positive probability.

Keywords: two-parameter; Wiener; process; stochastic; differential; equations (search for similar items in EconPapers)
Date: 1987
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