ON THE REPRESENTATION OF THE SOLUTION OF A CLASS OF STOCHASTIC DIFFERENTIAL EQUATIONS
RAND CORP SANTA MONICA CA
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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.
- Theoretical Mathematics