On driftless one-dimensional sdes with time-dependent diffusion coefficients

DOI10.1080/17442509908834211MaRDI QIDQ4719385zbMATH OpenOpenAlexFDO

Authors Peter Raupach

Publication date 22 October 2000

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442509908834211

zbMATH Keywords

Krylov's inequalitymartingale representation propertymonotone approximationpure martingaletime changetime-dependent diffusion

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

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• On one-dimensional stochastic differential equations without drift and with time-dependent diffusion coefficients
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• On weak solutions of one-dimensional SDEs with time-dependent coefficients
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Cited in

(23)

• Finitary coding for the one-dimensional \(T,T^{-1}\) process with drift.
• Brownian motion with singular time-dependent drift
• Existence and asymptotic behaviour of some time-inhomogeneous diffusions
• Change of drift in one-dimensional diffusions
• A new discretization scheme for one dimensional stochastic differential equations using time change method
• Time homogeneous diffusion with drift and killing to meet a given marginal
• Stochastic differential equation for Brox diffusion
• One dimensional stochastic differential equations with distributional drifts
• On multidimensional SDEs without drift and with a time-dependent diffusion matrix
• On weak convergence of one-dimensional diffusions with time-dependent coefficients
• On one-dimensional stochastic differential equations without drift and with time-dependent diffusion coefficients
• A Note on One-Dimensional Stochastic Equations
• scientific article; zbMATH DE number 4172084 (Why is no real title available?)
• On solutions of one-dimensional stochastic differential equations without drift
• The time change method and SDEs with nonnegative drift
• scientific article; zbMATH DE number 4034813 (Why is no real title available?)
• scientific article; zbMATH DE number 165526 (Why is no real title available?)
• scientific article; zbMATH DE number 1304736 (Why is no real title available?)
• On weak solutions of one-dimensional SDEs with time-dependent coefficients
• On the Generalized Drift Skorokhod Problem in One Dimension
• On a time-inhomogeneous diffusion process with discontinuous drift
• Asymptotic velocity of one dimensional diffusions with periodic drift
• On degenerate stochastic equations of Itô type with jumps

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