Accession Number:

AD0606448

Title:

ON THE REPRESENTATION OF THE SOLUTION OF A CLASS OF STOCHASTIC DIFFERENTIAL EQUATIONS

Descriptive Note:

Corporate Author:

RAND CORP SANTA MONICA CA

Personal Author(s):

Report Date:

1957-07-09

Pagination or Media Count:

6.0

Abstract:

A discussion is given of a representation of the distribution function of the solution of the stochastic differential equation u gu rt, where rt is a given stochastic function, and gu is assumed to be either strictly convex or strictly concave for all u. Extensions of this result to more general types of nonlinear functional equations may be readily obtained.

Subject Categories:

  • Theoretical Mathematics

Distribution Statement:

APPROVED FOR PUBLIC RELEASE