Noncausal Cauchy Problem for the Noncausal SDEs

Shigeyoshi Ogawa
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Shigeyoshi Ogawa: Dept. of Mathematical Sciences, Ritsumeikan University, Kusatsu, Shiga 525-8577, Japan

Chapter 14 in Stochastic Processes and Applications to Mathematical Finance, 2004, pp 289-304 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Causality in Stochastic CalculusNoncausal SDE and the Cauchy ProblemCauchy Problem for the Noncausal SDEs—Known ResultsDiscussion for the More General CaseOn the Question of UniquenessReferences

Keywords: Stochastic Processes; Stochastic Differential Equations; Malliavin Calculus; Stochastic Control and Optimization; Functionals of Brownian Motions and Lévy Processes; Stochastic Models of Financial Market; Derivative Pricing; Hedging Problem (search for similar items in EconPapers)
Date: 2004
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