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A singular stochastic integral equation

Nualart, David
; 
Sanz, Marta
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Abstract
This note is devoted to the discussion of the stochastic differential equation $ XdX + YdY = 0$, $ X$ and $ Y$ being continuous local martingales. A method to construct solutions of this equation is given.
Description
This is the published version, also available here: http://dx.doi.org/10.1090/S0002-9939-1982-0663883-5. First published in Proc. Amer. Math. Soc. in 1982, published by the American Mathematical Society.
Date
1982-03-05
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American Mathematical Society
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Mathematics Scholarly Works
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NualartD_PAMS_1982(86)139.pdf
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Keywords
Stochastic integral, Stochastic differential equations, (local) martingale
Citation
Nualart, David & Sanz, Marta. "A singular stochastic integral equation." Proc. Amer. Math. Soc. 86 (1982), 139-142. http://dx.doi.org/10.1090/S0002-9939-1982-0663883-5.
URI
https://hdl.handle.net/1808/17068
DOI
10.1090/S0002-9939-1982-0663883-5
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