Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.586187
Title: Pathwise view on solutions of stochastic differential equations
Author: Sipiläinen, Eeva-Maria
Awarding Body: University of Edinburgh
Current Institution: University of Edinburgh
Date of Award: 1993
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Abstract:
The Ito-Stratonovich theory of stochastic integration and stochastic differential equations has several shortcomings, especially when it comes to existence and consistency with the theory of Lebesque-Stieltjes integration and ordinary differential equations. An attempt is made firstly, to isolate the path property, possessed by almost all Brownian paths, that makes the stochastic theory of integration work. Secondly, to construct a new concept of solutions for differential equations, which would have the required consistency and continuity properties, within a class of deterministic noise functions, large enough to include almost all Brownian paths. The algebraic structure of iterated path integrals for smooth paths leads to a formal definition of a solution for a differential equation in terms of generalized path integrals for more general noises. This suggests a way of constructing solutions to differential equations in a large class of paths as limits of operators. The concept of the driving noise is extended to include the generalized path integrals of the noise. Less stringent conditions on the Holder continuity of the path can be compensated by giving more of its iterated integrals. Sufficient conditions for the solution to exist are proved in some special cases, and it is proved that almost all paths of Brownian motion as well as some other stochastic processes can be included in the theory.
Supervisor: Lyons, J. T. Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.586187  DOI: Not available
Keywords: Stochastic integral equations ; Stochastic differential equations
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