Controlled Stochastic Differential Equations

Iosif Il’ich Gihman and Anatoliĭ Vladimirovich Skorohod
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Iosif Il’ich Gihman: Academy of Sciences of the Ukranian SSR, Institute of Applied Mathematics and Mechanics
Anatoliĭ Vladimirovich Skorohod: Academy of Sciences of the Ukranian SSR, Institute of Mathematics

Chapter 3 in Controlled Stochastic Processes, 1979, pp 116-226 from Springer

Abstract: Abstract In this Section we present definitions and results related to the theory of stochastic integration which will be used frequently in what follows. Proofs can be found in the books listed in the Bibliography.

Keywords: Stochastic Differential Equation; Wiener Process; Borel Function; Sample Function; Independent Increment (search for similar items in EconPapers)
Date: 1979
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DOI: 10.1007/978-1-4612-6202-2_3

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