Continuity in a pathwise sense with respect to the coefficients of solutions of stochastic differential equations

DOI10.1016/S0304-4149(97)00024-0MaRDI QIDQ1275924zbMATH OpenOpenAlexFDO

Authors Thomas Skov Knudsen

Publication date 14 January 1999

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4149(97)00024-0

zbMATH Keywords

stochastic differential equationspathwise continuity

Mathematics Subject Classification ID

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

Recommendations

• Variation of solutions of stochastic differential equations with respect to the initial condition and parameters
• Stochastic flows for SDEs with non-Lipschitz coefficient.
• Pathwise uniqueness of a type of stochastic differential equation
• Counterexamples to local Lipschitz and local Hölder continuity with respect to the initial values for additive noise driven stochastic differential equations with smooth drift coefficient functions with at most polynomially growing derivatives
• Generalized calculus and sdes with non regular drift

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Cited in

(6)

• Absolute Continuity under Time Shift of Trajectories and Related Stochastic Calculus
• Counterexamples to local Lipschitz and local Hölder continuity with respect to the initial values for additive noise driven stochastic differential equations with smooth drift coefficient functions with at most polynomially growing derivatives
• The Continuity of SDE With Respect to Initial Value in the Total Variation
• Propriété d'absolue continuité pour les équations différentielles stochastiques dépendant du passé. (Absolute continuity property for stochastic differential equations depending on the past)
• Continuity and Gaussian two-sided bounds of the density functions of the solutions to path-dependent stochastic differential equations via perturbation
• scientific article; zbMATH DE number 1287952 (Why is no real title available?)

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