Journal of applied mathematics & informatics

The Korean Society for Computational and Applied Mathematics (한국전산응용수학회)
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AN EXISTENCE AND UNIQUENESS THEOREM OF STOCHASTIC DIFFERENTIAL EQUATIONS AND THE PROPERTIES OF THEIR SOLUTION

  • BAE, MUN-JIN (Department of Mathematics, Changwon National University) ;
  • PARK, CHAN-HO (Department of Mathematics, Changwon National University) ;
  • KIM, YOUNG-HO (Department of Mathematics, Changwon National University)
  • Received : 2019.07.29
  • Accepted : 2019.09.08
  • Published : 2019.09.30
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Abstract

In this paper, we show the existence and uniqueness of solution to stochastic differential equations under weakened $H{\ddot{o}}lder$ condition and a weakened linear growth condition. Furthermore, the properties of their solutions investigated and estimate for the error between Picard iterations $x_n(t)$ and the unique solution x(t) of SDEs.

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Acknowledgement

Supported by : National Research Foundation of Korea(NRF)

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