Uniqueness for a historical SDE with a singular interaction (Q1266792): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
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