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Browsing EPrint Collection - Mathematics by Subject "stochastic differential equations"

Browsing EPrint Collection - Mathematics by Subject "stochastic differential equations"

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  • Burdzy, Krzysztof; Bass, Richard F. (Institute of Mathematical Statistics, 1999-01)
    We study an ordinary differential equation controlled by a stochastic process. We present results on existence and uniqueness of solutions, on associated local times (Trotter and Ray-Knight theorems), and on time and ...
  • Burdzy, Krzysztof; Bass, Richard F.; Chen, Zhen-Qing (North-Holland (Elsevier), 2004-05)
    Let Z [subscript] t be a one-dimensional symmetric stable process of order [alpha] with [alpha is an element of the set] (0, 2) and consider the stochastic differential equation dX [subscript] t = [omega] (X [subscript] ...

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