This paper contains three
theorems on linear stochastic differential equations, where the differential equations
are given in terms of McShane’s first and second order related integrals.
The first, which is modelled on the classical Picard Theorem, concerns the
existence of solutions, the second gives boundedness of their moments, and the
third provides them with adjoints. The Adjoint Theorem has the interesting
property that its formulation requires the second order integral even when the
original differential equation involves only the more standard first order
integral.
