On a comparison theorem for solutions of stochastic differential equations and its applications
From MaRDI portal
Publication:1393898
DOI10.1215/kjm/1250523321zbMath0277.60047OpenAlexW1552480460MaRDI QIDQ1393898
Publication date: 1973
Published in: Journal of Mathematics of Kyoto University (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1215/kjm/1250523321
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes (60J60)
Related Items
Comparison theorems for neutral stochastic functional differential equations ⋮ The Rohde-Schramm theorem via the Gaussian free field ⋮ On the non-Lipschitz stochastic differential equations driven by fractional Brownian motion ⋮ Stochastic differential geometry: An introduction ⋮ Stationary distribution and extinction of a stochastic SEIQ epidemic model with a general incidence function and temporary immunity ⋮ Optimal sustainable harvesting of populations in random environments ⋮ Unnamed Item ⋮ Strong comparison of solutions of one-dimensional stochastic differential equations ⋮ Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes ⋮ Explosion in the quasi-Gaussian HJM model ⋮ On stochastic ordering for diffusion with jumps and applications ⋮ Periodic solutions of stochastic functional differential equations with jumps via viability ⋮ On comparison theorem for optional SDEs via local times and applications ⋮ Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance ⋮ Comparison of semimartingales and Lévy processes ⋮ Unnamed Item ⋮ A comparison theorem for stochastic equations of optional semimartingales ⋮ Eurodollar futures pricing in log-normal interest rate models in discrete time ⋮ A Weak-Type Inequality for Submartingales and Itô Processes ⋮ Online parameter estimation for the McKean-Vlasov stochastic differential equation ⋮ Portfolio Optimization in Fractional and Rough Heston Models ⋮ Delay-Based Service Differentiation with Many Servers and Time-Varying Arrival Rates ⋮ Qualitative analysis of stochastically perturbed SIRS epidemic model with two viruses ⋮ On a limit theorem for branching one-dimensional diffusion processes ⋮ Comparison theorem for stochastic differential delay equations with jumps ⋮ On applying comparison theorems to studying stability with probability 1 of stochastic differential equations ⋮ Optimal Consumption in the Stochastic Ramsey Problem without Boundedness Constraints ⋮ Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching ⋮ Successive approximations to solutions of stochastic differential equations ⋮ A remark on one non-autonomous stochastic Gompertz model with delay ⋮ Comparison theorem of one-dimensional stochastic hybrid delay systems ⋮ Theorems of comparison and stability with probability 1 for one-dimensional stochastic differential equations ⋮ A Necessary condition on comparison theorem for one-dimensional stochastic differential equation ⋮ Comparison theorem for stochastic functional differential equations and applications ⋮ Order preservation for multidimensional stochastic functional differential equations with jumps ⋮ Stochastic comparisons of Itô processes ⋮ Necessary and sufficient condition for comparison theorem of 1-dimensional stochastic differential equations ⋮ Comparison theorems for some backward stochastic Volterra integral equations ⋮ Comparison theorem for distribution-dependent neutral SFDEs ⋮ Limiting angle of Brownian motion in certain two-dimensional Cartan-Hadamard manifolds ⋮ On Comparison Results for Neutral Stochastic Differential Equations of Reaction-Diffusion Type in L2(ℝd) ⋮ Conditions for prosperity and depression of a stochastic R\&D model under regime switching ⋮ A Scaling Limit for Limit Order Books Driven by Hawkes Processes ⋮ A Bayesian sequential testing problem of three hypotheses for Brownian motion ⋮ On the strong comparison theorems for solutions of stochastic differential equations ⋮ Unnamed Item ⋮ Stochastic viability and comparison theorems for mixed stochastic differential equations