Necessary and sufficient condition for comparison theorem of 1-dimensional stochastic differential equations

DOI10.1016/j.spa.2005.08.004zbMath1096.60026MaRDI QIDQ2490066

Publication date: 28 April 2006

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

Full work available at URL: https://doi.org/10.1016/j.spa.2005.08.004

zbMATH Keywords

Stochastic differential equation with jumps; Viability condition; Viscosity solution of a linear parabolic partial differential equation

Mathematics Subject Classification ID

34F05: Ordinary differential equations and systems with randomness

34C11: Growth and boundedness of solutions to ordinary differential equations

60H20: Stochastic integral equations

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