一个随机微分方程的研究

Study on A Stochastic Differential Equation

研究了一个随机微分方程 ,它的解是一特殊的扩散过程 ,其漂移系数是不连续的Borel可测函数 .本文证明了其适应连续过程解的存在和唯一性 ,还指出了它可以进一步推广到更复杂的情形 .

In this paper we study a stochastic differential equation whose solution is a special diffusion with discontinuous coefficient of drift. We prove the existence and uniqueness of its solution and point out that it may be extended to more complicated case.