On solutions to Itô stochastic differential equations

DOI10.1016/S0377-0427(03)00477-1MaRDI QIDQ1408412zbMATH OpenFDO

Authors Javier Villarroel

Publication date 15 September 2003

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

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)

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Cites work

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• On second order differential operators
• On solutions of one-dimensional stochastic differential equations without drift
• Stochastic Calculus
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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
• scientific article; zbMATH DE number 3953987 (Why is no real title available?)
• 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
• On the stability of solutions of Ito differential equations
• scientific article; zbMATH DE number 1228746 (Why is no real title available?)
• scientific article; zbMATH DE number 3844756 (Why is no real title available?)
• scientific article; zbMATH DE number 721919 (Why is no real title available?)
• Itô stochastic differential equations as 2-jets
• On explicit local solutions of Itô diffusions
• scientific article; zbMATH DE number 3930053 (Why is no real title available?)
• ON EXPLICIT STRONG SOLUTION OF ITÔ–SDE'S AND THE DONSKER DELTA FUNCTION OF A DIFFUSION
• scientific article; zbMATH DE number 4098427 (Why is no real title available?)
• scientific article; zbMATH DE number 522765 (Why is no real title available?)
• 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

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