Quasi-diffusion solution of a stochastic differential equation
Tom 34 / 2007
Applicationes Mathematicae 34 (2007), 205-213
MSC: 60G20, 45R05.
DOI: 10.4064/am34-2-5
Streszczenie
We consider the stochastic differential equation where A_t, B_t, C_t are nonrandom continuous functions of t, X_0 is an initial random variable, Y=(Y_t,\,t\geq 0) is a Gaussian process and X_0, Y are independent. We give the form of the solution (X_t) to (0.1) and then basing on the results of Pluci/nska [Teor. Veroyatnost. i Primenen. 25 (1980)] we prove that (X_t) is a quasi-diffusion proces.
