Please use this identifier to cite or link to this item: http://hdl.handle.net/10497/4873
Title: 
Authors: 
Supervisor: 
Toh, Tin Lam
Issue Date: 
2012
Abstract: 
In this thesis, we study the stochastic differential equation with the stochastic integral of its integral equation defined using the Henstock approach, or commonly known as the generalized Riemann approach, instead of the usual classical Ito integral, which we shall call it the Ito- Henstock differential equation. Our aim is to prove the existence of solutions of the Ito-Henstock differential equation using methods parallel to what the classical approaches used in existence theorem proofs for ordinary differential equation, namely the Picard’s iteration method, piecewise approximation method and the Schauder’s fixed point method. Lastly, we examine the stability conditions of the Ito-Henstock differential equation and state its Lyapunov function.
URI: 
Issued Date: 
2012
Call Number: 
QA371 Tan
File Permission: 
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File Availability: 
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Appears in Collections:Master of Science

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