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Strong Solutions of Stochastic Bilinear Equations with Anticipating Drift in the First Wiener Chaos

In: Stochastic Processes

Author

Listed:
  • Jorge A. Leon

    (Centro de Investigación y de Estudios Avanzados del IPN)

  • Victor Perez-Abreu

    (Centro de Investigación en Matemáticas A. C.)

Abstract

This article deals with solutions of stochastic bilinear equations having Gaussian anticipating drift living in chaos of order one. The solution is given in terms of explicit expressions for the kernels of the multiple Wiener integrals in the chaos expansion.

Suggested Citation

  • Jorge A. Leon & Victor Perez-Abreu, 1993. "Strong Solutions of Stochastic Bilinear Equations with Anticipating Drift in the First Wiener Chaos," Springer Books, in: Stamatis Cambanis & Jayanta K. Ghosh & Rajeeva L. Karandikar & Pranab K. Sen (ed.), Stochastic Processes, pages 235-243, Springer.
    • Handle: RePEc:spr:sprchp:978-1-4615-7909-0_26
    DOI: 10.1007/978-1-4615-7909-0_26
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