The unique solution of stochastic differential equations
Dietrich Ryter
TL;DR
This paper explores the properties of solutions to stochastic differential equations without external drift, highlighting their invariance under time reversal and the significance of the anti-Ito integral.
Contribution
It identifies the unique solution framework for such stochastic differential equations, emphasizing the role of the anti-Ito integral in their analysis.
Findings
Solutions are stochastically invariant under time reversal.
The anti-Ito integral is singled out as the appropriate integral form.
Provides a theoretical foundation for understanding these SDEs.
Abstract
The solutions of stochastic differential equations without an external drift are stochastically invariant under time reversal. This singles out the "anti-Ito" integral.
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Taxonomy
Topicsstochastic dynamics and bifurcation · Advanced Thermodynamics and Statistical Mechanics · Nonlinear Dynamics and Pattern Formation