Stochastic Differential Equations on the Plane

Pavel S. Knopov and Olena N. Deriyeva
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Pavel S. Knopov: V.M. Glushkov Institute of Cybernetics National Academy of Sciences of Ukraine
Olena N. Deriyeva: V.M. Glushkov Institute of Cybernetics National Academy of Sciences of Ukraine

Chapter Chapter 2 in Estimation and Control Problems for Stochastic Partial Differential Equations, 2013, pp 37-92 from Springer

Abstract: Abstract In this chapter we investigate diffusion-type fields and Ito fields on the plane, two-parameter version of the Girsanov theorem, weak and strong solutions of stochastic differential equations on the plane, and the probability measures generated by stochastic fields. The results presented in this chapter are published in [10, 12, 14, 16, 25, 42, 44, 45, 47, 48, 65, 71].

Keywords: Stochastic Differential Equations; Stochastic Field; Girsanov Theorem; Strong Solution; Wiener Field (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:spochp:978-1-4614-8286-4_2

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DOI: 10.1007/978-1-4614-8286-4_2

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