A singular stochastic integral equation
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Issue Date
1982-03-05Article Version
Scholarly/refereed, publisher version
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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.
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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.
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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.
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