Pathwise uniqueness and approximation of solutions of stochastic differential equations
The purpose of the paper is to study strong stability properties of the solution of a stochastic differential equation for which pathwise uniqueness holds and with minimal assumptions under which one has existence of a weak solution (continuity and linear growth for the coefficients). By using Skorokhod's convergence theorem, the authors establish strong stability results under perturbations of the initial conditions and of parameters and of the driving processes. They extend their results to Hölder spaces. Next the authors give some applications of these stability results for studying the convergence of successive approximations and for the stochastic control of diffusions. More precisely, they prove that under pathwise uniqueness, the trajectories associated with relaxed controls are approximated in an \(L^2\)-sense by trajectories associated with ordinary controls. Hence, they extend the previous results obtained in the case of Lipschitz continuous coefficients. For the entire collection see [Zbl 0893.00035].
- Apporoximate solutions for stochastic differential equations with pathwise uniqueness
- Some generic properties of stochastic differential equations
- A stability theorem for stochastic differential equations and application to stochastic control problems
- Approximation of solutions of SDEs driven by a fractional Brownian motion, under pathwise uniqueness
- The pathwise uniqueness of solution of non-Markovian stochastic differential equations with jumps in plane
- Density symmetries for a class of 2-D diffusions with applications to finance
- Stochastic differential equations driven by fractional Brownian motion
- Stability and prevalence of Mckean-Vlasov stochastic differential equations with non-Lipschitz coefficients
- Stability of stochastic differential equations driven by multifractional Brownian motion
- Pathwise uniqueness of non-uniformly elliptic SDEs with rough coefficients
- Existence and uniqueness of an invariant measure for a chain of oscillators in contact with two heat baths
- Penalization methods for the Skorokhod problem and reflecting SDEs with jumps
- A stability theorem for stochastic differential equations and application to stochastic control problems
- Apporoximate solutions for stochastic differential equations with pathwise uniqueness
- Some generic properties of stochastic differential equations
- Partial differential equation pricing of contingent claims under stochastic correlation
- The Stochastic Differential Equation Approach to Analysis on Path Space
- Individual path uniqueness of solutions of SDE
- Approximation of solutions of mean-field stochastic differential equations
- Some stability results for semilinear stochastic heat equation driven by a fractional noise
- On the stability of mean-field stochastic differential equations with irregular expectation functional
- Pathwise uniqueness for stochastic PDEs
- On the convergence of Carathéodory numerical scheme for Mckean-Vlasov equations
- Stability results for stochastic differential equations driven by an additive fractional Brownian sheet
- Euler approximation and stability of the solution to stochastic differential equations with jumps under pathwise uniqueness
- Boundary conditions for the single-factor term structure equation
- Generic properties of McKean-Vlasov stochastic differential equations
- Convexity theory for the term structure equation
- The Black-Scholes equation in stochastic volatility models
- Pathwise uniqueness for a class of SDE in Hilbert spaces and applications
- Approximation and optimality necessary conditions in relaxed stochastic control problems
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