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arXiv · 1209.0623

Stochastic differential equations with path-independent solutions

Imme van den Berg
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Abstract

We present a condition for a stochastic differential equation dX_{t}=μ(t,X_{t})dt+σ(t,X_{t})dB_{t} to have a unique functional solution of the form Z(t,B_{t}). The condition expresses a relation between μ and σ. A generalization concerns solutions of the form Z(t,Y_{t}), where Y_{t} is an Ito-process satisfying a stochastic differential equation with coefficients only depending on time, to be determined from μ and σ. The solutions in question are obtained by solving a system of two partial differential equations, which may be reduced to two ordinary differential equations.

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Imme van den Berg. 2012-09-04. Stochastic differential equations with path-independent solutions. https://arxiv.org/abs/1209.0623

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