On solutions of stochastic differential equations with drift (Q1122220)
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scientific article; zbMATH DE number 4105979
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| English | On solutions of stochastic differential equations with drift |
scientific article; zbMATH DE number 4105979 |
Statements
On solutions of stochastic differential equations with drift (English)
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1990
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We study stochastic differential equations of the form \(dX_ t=\sigma (X_ t)dM_ t+b(X_ t)d<M>_ t\), where M is a continuous local martingale and \(<M>\) stands for its quadratic variation process. The conditions introduced by \textit{H. J. Engelbert} and \textit{W. Schmidt} [see, Z. Wahrscheinlichkeitstheor. Verw. Geb. 68, 287-314 (1985; Zbl 0535.60049); Lect. Notes Control Inf. Sci. 69, 143-155 (1985; Zbl 0583.60052)], which ensure the existence and uniqueness in law of solutions of SDE's driven by the Wiener process without drift (or with generalized drift), are shown to be no longer valid.
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stochastic differential equations
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continuous local martingale
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0.8608739972114563
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0.8571123480796814
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0.8389182090759277
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