Uniqueness for a historical SDE with a singular interaction (Q1266792): Difference between revisions
From MaRDI portal
Removed claims |
Set profile property. |
||
| (One intermediate revision by one other user not shown) | |||
| Property / author | |||
| Property / author: Roger P. Tribe / rank | |||
Normal rank | |||
| Property / reviewed by | |||
| Property / reviewed by: Constantin Vârsan / rank | |||
Normal rank | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Latest revision as of 03:44, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Uniqueness for a historical SDE with a singular interaction |
scientific article |
Statements
Uniqueness for a historical SDE with a singular interaction (English)
0 references
30 May 1999
0 references
It is proved the existence and pathwise uniqueness for a stochastic differential equation where the drift part has a discontinuity and evolves in a nonlinear manner. Approximating the singular drift by a bounded and globally Lipschitz continuous function and using Perkins theorem are the main tools for proving the issues. The paper is written in a clear manner, and proofs are given in detail. It is recommended for mathematicians specialized in stochastic differential equations.
0 references
stochastic differential equations
0 references
singular drift
0 references
existence and uniqueness
0 references
