On the existence of universal functional solutions to classical SDE's

DOI10.1214/aop/1042644713zbMath0861.60070OpenAlexW2089548849MaRDI QIDQ1922073

Olav Kallenberg

Publication date: 7 November 1996

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1042644713

zbMATH Keywords

weak solutionstochastic differential equationsstrong existenceuniversal functional solutionsuniversally predictable function

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

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A scaling limit for utility indifference prices in the discretised Bachelier model ⋮ On the existence of semimartingales with continuous characteristics ⋮ Sharp lower error bounds for strong approximation of SDEs with discontinuous drift coefficient by coupling of noise ⋮ One-dimensional SDEs with LPS-type singular drift coefficients and Hölder continuous diffusion coefficients ⋮ Law of the SLE tip ⋮ On the form of the large deviation rate function for the empirical measures of weakly interacting systems ⋮ Lyapunov criteria for the Feller-Dynkin property of martingale problems

Cites Work

• On the uniqueness of solutions of stochastic differential equations
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