The Existence and Uniqueness of the Solution for Stochastic Differential Equations

被引：1

作者：

Gao Haiyin ^{[1
]}

Weng Shiyou ^{[2
]}

机构：

[1] Changchun Univ, Coll Sci, Changchun 130022, Peoples R China

[2] Suzhou Vocat Univ, Dept Bas Course, Jiangsu 215104, Peoples R China

来源：

CCDC 2009: 21ST CHINESE CONTROL AND DECISION CONFERENCE, VOLS 1-6, PROCEEDINGS | 2009年

关键词：

Stochastic Differential Equations; Existence; Uniqueness; Stopping time;

D O I：

10.1109/CCDC.2009.5195048

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

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.

引用

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页码：2682 / +

页数：2

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