On representations of solutions to certain stochastic differential equations

Issue title: Computational and Mathematical Methods for Science and Engineering Conference 2002 – CMMSE-2002

Article type: Research Article

Authors: Villarroel, Javier

Affiliations: Universidad de Salamanca, Facultad de Ciencias, Plaza de la Merced, 37008 Salamanca, Spain. E-mail: [email protected]

Abstract: We determine the class of one-dimensional stochastic differential equations with a strong solution that can be represented as a functional of Brownian motion. For this class we detail the corresponding solution and transition density. Sharp conditions for explosion to occur are determined.

Keywords: Ito's equation, stochastic ordinary differential equations

DOI: 10.3233/JCM-2004-41-212

Journal: Journal of Computational Methods in Sciences and Engineering, vol. 4, no. 1-2, pp. 97-103, 2004