EXPLICIT STRONG SOLUTIONS OF MULTIDIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS

Michael A. Kouritzin () and Bruno Remillard ()
Additional contact information
Michael A. Kouritzin: Department of Mathematical and Statistical Sciences, University of Alberta

No lrsp-TRS368, RePAd Working Paper Series from Département des sciences administratives, UQO

Abstract: Herein, we characterize strong solutions of multidimensional stochastic differential equations (formula) that can be represented locally as (formula) where W is an multidimensional Brownian motion and U, (symbole) are continuous functions. Assuming that (symbole) is continuously differentiable, we find that (symbole) must satisfy a commutation relation for such explicit solutions to exist and we identify all drift terms b as well as U and (symbole) that will allow X to be represented in this manner. Our method is based on the existence of a local change of coordinates in terms of a diffeomorphism between the solutions X and the strong solutions to a simpler Ito integral equation.

Keywords: Diffeomorphism; Ito processes; explicit solutions. (search for similar items in EconPapers)
JEL-codes: C10 C40 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2000-01-01
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.repad.org/ca/on/lrsp/TRS368.pdf First version, 2002 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www.repad.org:80 (No such host is known. )

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pqs:wpaper:0102005

Access Statistics for this paper

More papers in RePAd Working Paper Series from Département des sciences administratives, UQO Contact information at EDIRC.
Bibliographic data for series maintained by Christian Calmes ().