Strong solutions of stochastic differential equations

Yves Le Jan; Olivier Raimond

doi:10.1016/s0764-4442(99)80039-1

Strong solutions of stochastic differential equations

Yves Le Jan, Olivier Raimond

Mathematics

Research output: Contribution to journal › Article › peer-review

Abstract

Using the Wiener chaos decomposition, we show that strong solutions of non Lipschitzian SDE's are given by random markovian kernels.

Original language	English (US)
Pages (from-to)	893-896
Number of pages	4
Journal	Comptes Rendus de l'Academie des Sciences - Series I: Mathematics
Volume	327
Issue number	10
DOIs	https://doi.org/10.1016/s0764-4442(99)80039-1
State	Published - Nov 1998

ASJC Scopus subject areas

General Mathematics

Access to Document

10.1016/s0764-4442(99)80039-1

Cite this

@article{9c50356271e24a729777264b0a94cb88,

title = "Strong solutions of stochastic differential equations",

abstract = "Using the Wiener chaos decomposition, we show that strong solutions of non Lipschitzian SDE's are given by random markovian kernels.",

author = "{Le Jan}, Yves and Olivier Raimond",

year = "1998",

month = nov,

doi = "10.1016/s0764-4442(99)80039-1",

language = "English (US)",

volume = "327",

pages = "893--896",

journal = "Comptes Rendus de l'Academie des Sciences - Series I: Mathematics",

issn = "0764-4442",

publisher = "Academie des sciences",

number = "10",

}

TY - JOUR

T1 - Strong solutions of stochastic differential equations

AU - Le Jan, Yves

AU - Raimond, Olivier

PY - 1998/11

Y1 - 1998/11

N2 - Using the Wiener chaos decomposition, we show that strong solutions of non Lipschitzian SDE's are given by random markovian kernels.

AB - Using the Wiener chaos decomposition, we show that strong solutions of non Lipschitzian SDE's are given by random markovian kernels.

UR - http://www.scopus.com/inward/record.url?scp=0032209864&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0032209864&partnerID=8YFLogxK

U2 - 10.1016/s0764-4442(99)80039-1

DO - 10.1016/s0764-4442(99)80039-1

M3 - Article

AN - SCOPUS:0032209864

SN - 0764-4442

VL - 327

SP - 893

EP - 896

JO - Comptes Rendus de l'Academie des Sciences - Series I: Mathematics

JF - Comptes Rendus de l'Academie des Sciences - Series I: Mathematics

IS - 10

ER -

Strong solutions of stochastic differential equations

Abstract

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this