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http://dx.doi.org/10.14317/jami.2019.491

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)
Publication Information
Journal of applied mathematics & informatics / v.37, no.5_6, 2019 , pp. 491-506 More about this Journal
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.
Keywords
Stachurska's inequality; $H{\ddot{o}}lder^{\prime}s$ inequality; Moment inequality; $H{\ddot{o}}lder^{\prime}s$ condition; Weakened linear growth condition;
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Times Cited By KSCI : 1  (Citation Analysis)
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