Stochastic Di Erential Equations Exercises

LECTURE 12: STOCHASTIC DIFFERENTIAL EQUATIONS, …

stochastic di erential equations (2). Are there always solutions to stochastic di erential equations of the form (1)? No! In fact, existence of solutions for all time t 0 is not guaranteed even for ordinary di erential equations (that is, di erential equations with no random terms). It is important to understand why this is so.

  Differential, Equations, Stochastic, Erential, Di erential equations, Stochastic di erential equations, Stochastic differential equations