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Noncausal Cauchy Problem for the Noncausal SDEs

In: Stochastic Processes And Applications To Mathematical Finance

Author

Listed:
  • Shigeyoshi Ogawa

    (Dept. of Mathematical Sciences, Ritsumeikan University, Kusatsu, Shiga 525-8577, Japan)

Abstract

The following sections are included:Causality in Stochastic CalculusNoncausal SDE and the Cauchy ProblemCauchy Problem for the Noncausal SDEs—Known ResultsDiscussion for the More General CaseOn the Question of UniquenessReferences

Suggested Citation

  • Shigeyoshi Ogawa, 2004. "Noncausal Cauchy Problem for the Noncausal SDEs," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 14, pages 289-304, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812702852_0014
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