MICHAEL A. KOURITZIN () (Department of Mathematical and Statistical Sciences, University of Alberta) BRUNO REMILLARD () (Service de l’enseignement des methodes quantitatives de gestion, HEC)
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Herein, we characterize strong solutions of multidimensional stochastic differential equations (formula) that can be represented locally as (formula) where W is an multidimensional Brownian motion and U, (symbole) are continuous functions. Assuming that (symbole) is continuously differentiable, we find that (symbole) must satisfy a commutation relation for such explicit solutions to exist and we identify all drift terms b as well as U and (symbole) that will allow X to be represented in this manner. Our method is based on the existence of a local change of coordinates in terms of a diffeomorphism between the solutions X and the strong solutions to a simpler Ito integral equation.
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Paper provided by Département des sciences administratives, UQO in its series RePAd Working Paper Series with number
lrsp-TRS368.
Length: 19 pages Date of creation: 01 Jan 2000 Date of revision: Handle: RePEc:pqs:wpaper:0102005
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Find related papers by JEL classification: C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General