摘要
In this paper we prove the existence and uniqueness of the solutions to the one-dimensional linear stochastic differential equation with Skorohod integral Xt（ω）=η（w）＋∫^t 0 asXs（ω）dWs＋∫^t 0 bsXs（ω）ds, t∈[0,1] where （Ws） is the canonical Wiener process defined on the standard Wiener space （W,H,u）, a is non-smooth and adapted, but η and b may be anticipating to the filtration generated by （Ws）. The intention of the paper is to eliminate the regularity of the diffusion coefficient a in the Malliavin sense, in the existing literature. The idea is to approach the non-smooth diffusion coefficient a by smooth ones.
In this paper we prove the existence and uniqueness of the solutions to the one-dimensional linear stochastic differential equation with Skorohod integral Xt（ω）=η（w）＋∫^t 0 asXs（ω）dWs＋∫^t 0 bsXs（ω）ds, t∈[0,1] where （Ws） is the canonical Wiener process defined on the standard Wiener space （W,H,u）, a is non-smooth and adapted, but η and b may be anticipating to the filtration generated by （Ws）. The intention of the paper is to eliminate the regularity of the diffusion coefficient a in the Malliavin sense, in the existing literature. The idea is to approach the non-smooth diffusion coefficient a by smooth ones.
基金
This work is supported by NSFC
