PUBLICATIONS DE L'INSTITUT MATHEMATIQUE (BEOGRAD) (N.S.)Vol. 77(91), pp. 7–19 (2005)
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PUBLICATIONS DE L'INSTITUT MATHEMATIQUE (BEOGRAD) (N.S.) Vol. 77(91), pp. 7–19 (2005) |
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STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY GENERALIZED POSITIVE NOISEMichael Oberguggenberger and Danijela Rajter-CiricInstitut für Technische Mathematik, Geometrie und Bauinformatik, Innsbruck, Austria and Institut za matematiku i informatiku, Prirodno-matematicki fakultet, Novi Sad, Serbia and MontenegroAbstract: We consider linear SDEs with the generalized positive noise process standing for the noisy term. Under certain conditions, the solution, a Colombeau generalized stochastic process, is proved to exist. Due to the blowing-up of the variance of the solution, we introduce a "new" positive noise process, a renormalization of the usual one. When we consider the same equation but now with the renormalized positive noise, we obtain a solution in the space of Colombeau generalized stochastic processes with both, the first and the second moment, converging to a finite limit. Classification (MSC2000): 46F30; 60G20, 60H10 Full text of the article: (for faster download, first choose a mirror)
Electronic fulltext finalized on: 7 Nov 2005. This page was last modified: 11 May 2006.
© 2005 Mathematical Institute of the Serbian Academy of Science and Arts
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