Diffusion processes with continuous coefficients, I

DOI10.1002/CPA.3160220304MaRDI QIDQ5554669zbMATH OpenOpenAlexFDO

Authors Daniel W. Stroock, S. R. S. Varadhan

Publication date 1969

Published in Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/cpa.3160220304

zbMATH Keywords

diffusion processesexistenceuniqueness

Mathematics Subject Classification ID

Diffusion processes and stochastic analysis on manifolds (58J65) Diffusion processes (60J60)

Cites work

• scientific article; zbMATH DE number 3245885 (Why is no real title available?)
• On a Formula Concerning Stochastic Differentials

Cited in

(only showing first 100 items - show all)

• Stochastic representation of partial differential inclusions
• Stochastic pursuit-evasion differential games in the plane
• On a class of unilateral evolution problems
• A stochastic homicidal chauffeur pursuit-evasion differential game
• Théorie du potentiel associée à certains systèmes différentiels
• A limit theorem for stochastic acceleration
• A martingale problem associated with diffusion operators in a domain
• One pursuer and two evaders on the line: A stochastic pursuit-evasion differential game
• Bifurcation in the presence of small noise
• Weak convergence of Markov chains with two-parameter time
• Solution of stochastic differential equations by random time change
• Weak convergence of random processes to the solution of a martingale problem
• Optimal control of diffusion processes with reflection
• Weak convergence of martingale problem solutions
• Probability methods for convergence of approximations of integrodifferential equations
• Exponential bound for distribution of locally infinitely divisible processes
• A quality control problem and quasi-variational inequalities
• A limit theorem for turbulent diffusion
• Nearest neighbor birth and death processes on the real line
• Boundary layers and homogenization of transport processes
• On the martingale problem associated with nondegenerate Lévy operators
• A note on generalized flows
• Lundberg inequalities in a diffusion environment
• On the martingale problem and Feller and strong Feller properties for weakly coupled Lévy type operators
• Hölder and Lipschitz continuity of the solutions to parabolic equations of the non-divergence type
• Martingale representation for degenerate diffusions
• Martingale problem under nonlinear expectations
• Itô's calculus under sublinear expectations via regularity of PDEs and rough paths
• On the uniqueness of solution to a martingale problem associated with a degenerate Lévy's operator
• Proof of existence theorems for the two-parameter martingale problem
• Uniqueness in law for a class of degenerate diffusions with continuous covariance
• Fundamental solution to 1D degenerate diffusion equation with locally bounded coefficients
• \(N\)-player games and mean-field games with smooth dependence on past absorptions
• Feynman-Kac formula under a finite entropy condition
• SDEs with random and irregular coefficients
• Stochastic differential equations with singular coefficients on the straight line
• Probability density function of SDEs with unbounded and path-dependent drift coefficient
• Diffusion occupation time before exiting
• Pathwise no-arbitrage in a class of delta hedging strategies
• Cylindrical martingale problems associated with Lévy generators
• Fragility of arbitrage and bubbles in local martingale diffusion models
• Genealogy of catalytic branching models
• Translation invariant diffusions in the space of tempered distributions
• Homogenization of an advection equation with locally stationary random coefficients
• On characterisation of Markov processes via martingale problems
• Characterization of stationary distributions of reflected diffusions
• On weak uniqueness for some degenerate SDEs by global \(L^p\) estimates
• Cubature methods and applications
• The positive occupation time of Brownian motion with two-valued drift and asymptotic dynamics of sliding motion with noise
• Weak solutions of mean-field stochastic differential equations
• A PDE approach to jump-diffusions
• Gradient method for computing optimal controls for stochastic differential equations
• scientific article; zbMATH DE number 3644256 (Why is no real title available?)
• A martingale method for the convergence of a sequence of processes to a jump-diffusion process
• The Cauchy Problem for Degenerate Parabolic Equations with Discontinuous Drift
• Elliptic differential operators and diffusion processes
• INTEGRAL REPRESENTATIONS OF CYLINDRICAL LOCAL MARTINGALES IN EVERY SEPARABLE BANACH SPACE
• Mimicking an Itō process by a solution of a stochastic differential equation
• Brownian Motion With Polar Drift
• A class of degenerate stochastic differential equations with non-Lipschitz coefficients
• Problèmes elliptiques du 2ème ordre non sous forme divergence
• Optimal bang-bang control of partially observable stochastic systems†
• Regularization of Hamiltonians and processes
• Bang-bang partially observable feedback strategies for a rendezvous problem†
• An alternative approach to non-linear filtering: maximizing the probability of hitting a target set†‡
• Computation of suboptimal Nash strategies for a stochastic differential game under partial observation†
• scientific article; zbMATH DE number 3791407 (Why is no real title available?)
• Diffusion processes associated with L�vy generators
• Behavior of diffusion semi-groups at infinity
• scientific article; zbMATH DE number 3466307 (Why is no real title available?)
• Caract�ristiques locales et conditions de continuit� absolue pour les semi-martingales
• Sur un problème de dynkin
• Dualit� convexe, temps d'arr�t optimal et contr�le stochastique
• ContrÔle stochastique, jeux et temps d'arrÊt: Applications de la théorie probabiliste du potentiel
• Dirichlet forms and diffusion processes on rigged Hilbert spaces
• �tude des solutions extr�males et repr�sentation int�grale des solutions pour certains probl�mes de martingales
• On optimal parameter selection for stochastic Ito differential systems
• The Markov processes of Schr�dinger
• Application of the Dual-Process Method to the Study of a Certain Singular Diffusion
• Sur l'int�grabilit� uniforme des martingales exponentielles
• Contr�le de processus alternants et applications
• Sur les processus de diffusion de dimension 2
• Control of jump processes and applications
• Un probl�me de contr�le stochastique avec observation partielle
• Differentiability preserving properties of markov semigroups associated with one-dimensional diffusions
• Processes With Independent Increments on a Lie Group
• Quality Control for Markov Chains and Free Boundary Problems
• Stochastic Equations with Discontinuous Drift
• Jitter in Piecewise-Smooth Dynamical Systems with Intersecting Discontinuity Surfaces
• Stochastic differential equations with generalized stochastic volatility and statistical estimators
• scientific article; zbMATH DE number 3439794 (Why is no real title available?)
• On resolving singularities of piecewise-smooth discontinuous vector fields via small perturbations
• Some stochastic processes which arise from a model of the motion of a bacterium
• Stochastically perturbed sliding motion in piecewise-smooth systems
• Adaptive weak approximation of stochastic differential equations
• Drift parameter estimation in stochastic differential equation with multiplicative stochastic volatility
• State-Dependent Temperature Control for Langevin Diffusions
• Parametrix method for the first hitting time of an elliptic diffusion with irregular coefficients
• Stochastic control of optimized certainty equivalents
• On martingale solutions of stochastic partial differential equations with Lévy noise

This page was built for publication: Diffusion processes with continuous coefficients, I

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5554669)