Existence and uniqueness of a strong solution to stochastic differential equations in the plane with stochastic boundary process

DOI10.1016/0047-259X(89)90101-2zbMATH Open0673.60059MaRDI QIDQ1120903FDOQ1120903

Authors: S. H. Smith 

Publication date: 1989

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

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zbMATH Keywords

probabilitystochastic differential equationsstrong solutionsprobability distributionpathwise uniquenessregular conditionaluniqueness in

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

Cites Work

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• On the uniqueness of solutions of stochastic differential equations
• Stochastic integrals in the plane
• Martingales and stochastic integrals for processes with a multi-dimensional parameter
• Existence of strong solutions for stochastic differential equations in the plane
• Uniqueness of strong solutions to stochastic differential equations in the plane with deterministic boundary process
• Existence of Weak Solutions to Stochastic Differential Equations in the Plane with Continuous Coefficients
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (9)

• Malliavin differentiability of solutions of hyperbolic stochastic partial differential equations with irregular drifts
• The support of the solution to a hyperbolic SPDE
• Existence of Weak Solutions to Stochastic Differential Equations in the Plane with Continuous Coefficients
• Path-by-path uniqueness of multidimensional SDE's on the plane with nondecreasing coefficients
• Stochastic integration with respect to local time of the Brownian sheet and regularising properties of Brownian sheet paths
• Dependence on the boundary condition for linear stochastic differential equations in the plane
• Uniqueness of strong solutions to stochastic differential equations in the plane with deterministic boundary process
• Title not available (Why is that?)
• Title not available (Why is that?)

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