Browse by author
Lookup NU author(s): Dr Jordan Stoyanov
Full text for this publication is not currently held within this repository. Alternative links are provided below where available.
Our goal is to analyze the moment uniqueness or non-uniqueness of the one-dimensional distributions of the solution processes of It (o) over cap type stochastic differential equations (SDE). We recall some criteria, classical and/or new, and apply them to derive results for the solutions of linear and nonlinear SDEs. Special attention is paid to the Brownian motion, stochastic integrals and geometric Brownian motion. Another possibility is to use the moment convergence theorem (Frechet-Shohat) for finding explicitly the limit one-dimensional distributions of specific processes. Related moment problems are also outlined with the focus on functional transformations of processes and approximations of the solutions of perturbed SDEs.
Author(s): Stoyanov J
Editor(s): Pasik-Duncan, B.
Publication type: Conference Proceedings (inc. Abstract)
Publication status: Published
Conference Name: Stochastic Theory and Control: Proceedings of a Workshop
Year of Conference: 2002
Pages: 459-469
Date deposited: 04/08/2017
ISSN: 0170-8643
Publisher: Springer
URL: http://dx.doi.org/10.1007/3-540-48022-6_31
DOI: 10.1007/3-540-48022-6_31
Library holdings: Search Newcastle University Library for this item
Series Title: Lecture Notes in Control and Information Sciences
ISBN: 9783540437772
