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Second Order Itô Processes

Published online by Cambridge University Press:  22 January 2016

Jerome A. Goldstein
Jerome A. Goldstein*
Affiliation:
The Institute for Advanced Study, Princeton, New Jersey
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A first order stochastic differential equation is any equation which can be expressed symbolically in the form

(1. 1)

m and σ are called the drift and diffusion coefficients and z( · ) is usually a Brownian motion process.

Type
Research Article
Information
Nagoya Mathematical Journal , Volume 36 , November 1969 , pp. 27 - 63
Copyright
Copyright © Editorial Board of Nagoya Mathematical Journal 1969

References

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