Non-random functions and solutions of Langevin-type stochastic differential equations
We construct a solution of a Langevine-type stochastic differential equation (SDE) with a non-random function depending on its solution. We determine conditions for such non-random function to appear. Using the solution of a homogeneous SDE, we obtain a solution of the generalized Langevine-type SDE by reducing it to a linear one. We construct a stochastic process with non-random modulus in square which is not a solution to an Ito-type SDE.
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