On the support of an Ito diffusion process in the stochastic differential equations(SDEs)
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The Brownian motion(Wiener process) has a play an important role in the structure of a stochastic differential equa-tions(SDEs). We determined Brownian motion on the unit circle. The analytical solution of a SDEs including Brownian motion on the unit circle, it is not at all apparent that its solution is situated on the same circle as the starting point. In this paper, we are going to be detected this difficulty by a new method. Using this method, we find the support of for some particular equations.
Abstract
The Brownian motion(Wiener process) has a play an important role in the structure of a stochastic differential equa-tions(SDEs). We determined Brownian motion on the unit circle. The analytical solution of a SDEs including Brownian motion on the unit circle, it is not at all apparent that its solution is situated on the same circle as the starting point. In this paper, we are going to be detected this difficulty by a new method. Using this method, we find the support of for some particular equations.
참고문헌 (10)
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