On solutions to Itô stochastic differential equations

DOI10.1016/S0377-0427(03)00477-1zbMATH Open1027.60062MaRDI QIDQ1408412FDOQ1408412

Authors: Javier Villarroel 

Publication date: 15 September 2003

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Recommendations

• scientific article; zbMATH DE number 4056707
• scientific article; zbMATH DE number 2156352
• On non-explosion for the solution of a stochastic differential equation
• On a class of Ito stochastic differential equations
• On explicit solutions to stochastic differential equations

zbMATH Keywords

strong solutionexplosion timestochastic ordinary differential equationsItô's equation

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Stochastic Calculus
• The parabolic differential equations and the associated semigroups of transformation
• On solutions of one-dimensional stochastic differential equations without drift
• Title not available (Why is that?)
• Diffusion processes and their sample paths.
• Title not available (Why is that?)
• A diffusion process and its applications to detecting a change in the drift of Brownian motion
• On explicit solutions to stochastic differential equations
• On second order differential operators
• When is a stochastic integral a time change of a diffusion?

Cited In (23)

• Solving stochastic differential Itô equations
• On a class of Ito stochastic differential equations
• On non-explosion for the solution of a stochastic differential equation
• Explosion and asymptotic behavior of nonlinear Itô type stochastic integrodifferential equations
• Title not available (Why is that?)
• Passage to the Limit in Itô Stochastic Equations
• Stochastic differential equation in a random environment
• Strong solutions of stochastic differential equations for multiparameter processes
• Some properties of the Itô-Wiener expansion of the solution of a stochastic differential equation and local times
• Qualitative analysis of systems of Itô stochastic differential equations
• Title not available (Why is that?)
• On the stability of solutions of Ito differential equations
• Title not available (Why is that?)
• Title not available (Why is that?)
• Itô stochastic differential equations as 2-jets
• Title not available (Why is that?)
• On explicit local solutions of Itô diffusions
• ON EXPLICIT STRONG SOLUTION OF ITÔ–SDE'S AND THE DONSKER DELTA FUNCTION OF A DIFFUSION
• Title not available (Why is that?)
• Title not available (Why is that?)
• Explosion time of second-order Ito processes
• A systematic elimination procedure for Ito stochastic differential equations and the adiabatic approximation
• Mimicking an Itō process by a solution of a stochastic differential equation

This page was built for publication: On solutions to Itô stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1408412)