On the uniqueness of solutions of stochastic differential equations

From MaRDI portal
Revision as of 05:35, 3 February 2024 by Import240129110113 (talk | contribs) (Created automatically from import240129110113)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:2552350

DOI10.1215/KJM/1250523691zbMath0236.60037OpenAlexW1534354411MaRDI QIDQ2552350

Toshio Yamada, Shinzo Watanabe

Publication date: 1971

Published in: Journal of Mathematics of Kyoto University (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1215/kjm/1250523691




Related Items (only showing first 100 items - show all)

Generalized integration and stochastic ODEsIntegration by parts on \(\delta\)-Bessel bridges, \(\delta>3\), and related SPDEsOn uniqueness of solutions for the stochastic differential equations of nonlinear filteringMultiple time scale analysis of interacting diffusionsParticle representations for a class of nonlinear SPDEsExistence and pathwise uniqueness of solutions for stochastic differential equations with respect to martingales in the planeFavard separation method for almost periodic stochastic differential equationsErgodicity of scalar stochastic differential equations with Hölder continuous coefficientsYamada-Watanabe results for stochastic differential equations with jumpsOn \(L^ {p}\)-solutions of semilinear stochastic partial differential equations.Construction of Malliavin differentiable strong solutions of SDEs under an integrability condition on the drift without the Yamada-Watanabe principleSome fluctuation results for weakly interacting multi-type particle systemsAnalysis and approximation of a stochastic growth model with extinctionOn the non-Lipschitz stochastic differential equations driven by fractional Brownian motionStochastic mortality in life insurance: market reserves and mortality-linked insurance contractsAn importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier optionsStochastic McKean-Vlasov equationsTime inhomogeneous stochastic differential equations involving the local time of the unknown process, and associated parabolic operatorsA damped diffusion framework for financial modeling and closed-form maximum likelihood estimationFinite and infinite systems of interacting diffusionsStrong solutions to stochastic differential equations with rough coefficientsThe behavior of solutions of stochastic differential inequalitiesThe Jacobi stochastic volatility modelOn pathwise uniqueness for stochastic heat equations with non-Lipschitz coefficientsApproximating explicitly the mean-reverting CEV processApproximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown processSolubility of stochastic differential equations with perturbed argumentGlobal existence of solutions for perturbed differential equationsExistence of strong solutions for Itô's stochastic equations via approximationsExistence and uniqueness of a strong solution to stochastic differential equations in the plane with stochastic boundary processA class of degenerate stochastic differential equations with non-Lipschitz coefficientsOn the existence of universal functional solutions to classical SDE'sOn the pathwise uniqueness of stochastic partial differential equations with non-Lipschitz coefficientsBalayage formula, local time and applications in stochastic differential equationsStochastic differential equations driven by spatial parameters semimartingale with non-Lipschitz local characteristicNonuniqueness for nonnegative solutions of parabolic stochastic partial differential equationsStability problems for Cantor stochastic differential equationsLong-term factorization of affine pricing kernelsLarge deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\)Stochastic Allen-Cahn equation with mobilityGradient estimates and applications for SDEs in Hilbert space with multiplicative noise and Dini continuous driftOn the smoothness of value functions and the existence of optimal strategies in diffusion modelsStrong solutions for stochastic differential equations with jumpsOn a type of stochastic differential equations driven by countably many Brownian motionsA martingale problem associated with diffusion operators in a domainLocal martingale solutions to the stochastic two layer shallow water equations with multiplicative white noiseMomentum estimates and ergodicity for the 3D stochastic cubic Ginzburg-Landau equation with degenerate noiseOn symmetric and skew Bessel processesDiffusion approximation of videoconference networksEntropy solutions for stochastic porous media equationsA counterexample to a.s. constructionsStrong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zeroJump type stochastic differential equations with non-Lipschitz coefficients: non-confluence, Feller and strong Feller properties, and exponential ergodicityNonuniqueness for a parabolic SPDE with \(\frac{3}{4}-\varepsilon \)-Hölder diffusion coefficientsEstimation and control for linear, partially observable systems with non- Gaussian initial distributionOn the form of the large deviation rate function for the empirical measures of weakly interacting systemsGeneralized volatility-stabilized processesTamed Euler-Maruyama approximation for stochastic differential equations with locally Hölder continuous diffusion coefficientsOn the Euler-Maruyama scheme for spectrally one-sided Lévy driven SDEs with Hölder continuous coefficientsExistence and uniqueness of solutions to stochastic Volterra equations with singular kernels and non-Lipschitz coefficientsOn the existence and uniqueness of solutions to stochastic differential equations driven by \(G\)-Brownian motion with integral-Lipschitz coefficientsMartingale and pathwise solutions to the stochastic Zakharov-Kuznetsov equation with multiplicative noiseWeak approximation of SDEs by discrete-time processesSuccessive approximations to solutions of stochastic differential equationsMartingale representation for degenerate diffusionsAn explicit and positivity preserving numerical scheme for the mean reverting CEV modelTsirel'son's equation in discrete timeOn squared Bessel particle systemsDrift parameter estimation in stochastic differential equation with multiplicative stochastic volatilityFourier analysis applied to SPDEsEtude d'une équation différentielle stochastique non linéaire avec temps local, modèle limité pour un système de particules avec interaction à la frontière. (Study of a nonlinear stochastic differential equation with local times, limit model for a particle system with interaction at the boundary)Weak and strong probabilistic solutions for a stochastic quasilinear parabolic equation with nonstandard growthNonequilibrium statistical mechanics of a solid immersed in a continuumPathwise uniqueness for a SDE with non-Lipschitz coefficients.Construction of strong solutions of SDE's via Malliavin calculusMultiscale diffusion approximations for stochastic networks in heavy trafficStrong solutions of stochastic equations with singular time dependent driftPathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curveSchilder theorem for the Brownian motion on the diffeomorphism group of the circleHarnack inequality for SDE with multiplicative noise and extension to Neumann semigroup on nonconvex manifoldsBranching-coalescing particle systemsPathwise uniqueness for stochastic heat equations with Hölder continuous coefficients: The white noise caseA note on Euler approximations for SDEs with Hölder continuous diffusion coefficientsStochastic contagion models without immunity: their long term behaviour and the optimal level of treatmentA powered Gronwall-type inequality and applications to stochastic differential equationsItô's excursion theory and its applicationsMeasure of noncompactness and application to stochastic differential equationsProjections of spherical Brownian motionNew sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficientsRemarks on uniqueness and strong solutions to deterministic and stochastic differential equationsThe stochastic Korteweg-de Vries equation in \(L^2(\mathbb{R})\)On the pathwise uniqueness of solutions of one-dimensional stochastic differential equations of jump typeA stochastic calculus model of continuous trading: Complete marketsAdapted Wasserstein distances and stability in mathematical financeExistence of densities of solutions of stochastic differential equations by Malliavin calculusDiffusions with reflection on an orthant and associated initial-boundary value problemsExistence of optimal controls for partially observed linear diffusionsPeriodic behavior of the stochastic Brusselator in the mean-field limitNoise can create periodic behavior and stabilize nonlinear diffusionsOn the strong solutions of one-dimensional stochastic differential equations with reflecting boundary







This page was built for publication: On the uniqueness of solutions of stochastic differential equations