Title :
The existence and uniqueness of the solution for stochastic differential equations
Author :
Haiyin, Gao ; Shiyou, Weng
Author_Institution :
Coll. of Sci.., Changchun Univ., Changchun, China
Abstract :
The purpose of this paper is to generalize the existence and uniqueness theorem of solutions to stochastic differential equation, under the the uniform Lipschitz condition, linear growth condition is weaked. The existence and uniqueness theorem of solutions to stochastic differential equation is obtained and the estimate for the error between approximate solution and accurate solution is given.
Keywords :
approximation theory; differential equations; stochastic processes; accurate solution; approximate solution; linear growth condition; stochastic differential equations; uniform Lipschitz condition; uniqueness theorem; Differential equations; Educational institutions; Extraterrestrial measurements; Filtration; Random variables; Stochastic processes; Existence; Stochastic Differential Equations; Stopping time; Uniqueness;
Conference_Titel :
Control and Decision Conference, 2009. CCDC '09. Chinese
Conference_Location :
Guilin
Print_ISBN :
978-1-4244-2722-2
Electronic_ISBN :
978-1-4244-2723-9
DOI :
10.1109/CCDC.2009.5195048
