Cauchy Formula for Affine SDE with Skorohod Integral
Abstract
The Cauchy representation formula enables to obtain a solution to a nonhomogeneous equation with the help of the linear homogeneous part solution and nonhomogeneities. In case of known asymptotics of the linear homogeneous part solution, we can establish some properties of behavior of a solution to nonhomogeneous equation. For diffusion equations the Cauchy formula was ascertained and successfully applied for different cases. In this paper, the Cauchy representation formula for a solution to a multidimentional affine SDE with the Skorohod integral is established. Conditions for inclusion of the solution into generalized Wiener functional spaces are given.References
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