On the uniqueness of solutions of stochastic differential equations

From MaRDI portal
Publication:2552350

DOI10.1215/kjm/1250523691zbMath0236.60037OpenAlexW1534354411MaRDI QIDQ2552350

Toshio Yamada, Shinzo Watanabe

Publication date: 1971

Published in: Journal of Mathematics of Kyoto University (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1215/kjm/1250523691




Related Items (only showing first 100 items - show all)

Application of the Dual-Process Method to the Study of a Certain Singular DiffusionTHE STOCHASTIC MAGNETO-HYDRODYNAMIC SYSTEMUnnamed ItemAffine Diffusions with Non-Canonical State SpaceStochastic generalized magnetohydrodynamics equations with not regular multiplicative noise: well-posedness and invariant measureSuccessive approximation of infinite dimensional semilinear backward stochastic evolution equations with jumpsCrossing probabilities for diffusion processes with piecewise continuous boundariesUnnamed ItemThe fundamental solution to 1D degenerate diffusion equation with one-sided boundaryPropagation of chaos and the many-demes limit for weakly interacting diffusions in the sparse regimeCostly defense traits in structured populationsA fractional degenerate parabolic-hyperbolic Cauchy problem with noiseTamed-adaptive Euler-Maruyama approximation for SDEs with locally Lipschitz continuous drift and locally Hölder continuous diffusion coefficientsUnique strong solutions of Lévy processes driven stochastic differential equations with discontinuous coefficientsStrong solutions for jump-type stochastic differential equations with non-Lipschitz coefficientsStochastic averaging principle for two-time-scale jump-diffusion SDEs under the non-Lipschitz coefficientsPathwise uniqueness of stochastic differential equations driven by Brownian motions and finite variation Lévy processesPathwise uniqueness and non-explosion property of Skorohod SDEs with a class of non-Lipschitz coefficients and non-smooth domainsOn Large Deviations for Small Noise Itô ProcessesUnnamed ItemA jump-type SDE approach to real-valued self-similar Markov processesClosed-form approximations with respect to the mixing solution for option pricing under stochastic volatilityConvergence of the deep BSDE method for FBSDEs with non-Lipschitz coefficientsOn a class of Lévy-driven McKean-Vlasov SDEs with Hölder coefficientsStrong convergence in infinite time interval of tamed-adaptive Euler-Maruyama scheme for Lévy-driven SDEs with irregular coefficientsCarathéodory approximate solutions for a class of perturbed reflected stochastic differential equations with irregular coefficientsDiscount modelsLarge deviations for the two-time-scale stochastic convective Brinkman-Forchheimer equationsStrong solutions to McKean-Vlasov SDEs with coefficients of Nemytskii-typeStochastic differential equations with critically irregular drift coefficientsAdaptation of a population to a changing environment in the light of quasi-stationarityThe modified truncated Euler-Maruyama method for stochastic differential equations with concave diffusion coefficientsOne-dimensional SDEs with LPS-type singular drift coefficients and Hölder continuous diffusion coefficientsThe Dirichlet Problem for Stochastic Degenerate Parabolic-Hyperbolic EquationsWell-posedness and stability for a class of stochastic delay differential equations with singular driftLarge deviation principle for quasi-stationary distributions and multiscale dynamics of absorbed singular diffusionsOne-dimensional McKean-Vlasov stochastic Volterra equations with Hölder diffusion coefficientsStochastic Volterra equations with Hölder diffusion coefficientsReaction-diffusion models for a class of infinite-dimensional nonlinear stochastic differential equationsFully coupled drift-less forward and backward stochastic differential equations in a degenerate caseOn a class of Ito stochastic differential equationsA Brownian-Markov stochastic model for cart-like wheeled mobile robotsOn the pathwise uniqueness for a class of degenerate Itô-stochastic differential equationsOptimal contracts to a principal-agent model with a diffusion coefficient affected by firm sizeCausal Transport in Discrete Time and ApplicationsMean-Field Type Modeling of Nonlocal Crowd Aversion in Pedestrian Crowd DynamicsOn the pathwise uniqueness of solutions to stochastic differential equationsDETERMINISTIC CRITERIA FOR THE ABSENCE AND EXISTENCE OF ARBITRAGE IN MULTI-DIMENSIONAL DIFFUSION MARKETSA NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLINGLecture notes on the DiPerna–Lions theory in abstract measure spacesOn the Euler–Maruyama Scheme for Degenerate Stochastic Differential Equations with Non-sticky ConditionOn a Construction of Strong Solutions for Stochastic Differential Equations with Non-Lipschitz Coefficients: A Priori Estimates ApproachUnnamed ItemStochastic fractional differential equations driven by Lévy noise under Carathéodory conditionsBessel diffusions as a one-parameter family of diffusion processesGradient estimate on convex domains and applicationsOn the stochastic differential equations of filtering theoryStochastic differential equations with time-dependent reflecting barriersOn Pathwise Uniqueness of Solutions for Multidimensional McKean--Vlasov EquationSTOCHASTIC EQUATIONS OF PROCESSES WITH JUMPSOn a stochastic nonlinear equation in one-dimensional viscoelasticityFinite and Infinite Systems of Interacting Diffusions: Cluster Formation and Universality PropertiesExact Simulation of Brownian Diffusions with Drift Admitting JumpsExistence of Arrow-Radner equilibrium with endogenously complete markets under incomplete informationRemark on pathwise uniqueness of stochastic differential equations driven by Lévy processesBrownian Motion at a Slow Point ⋮ [https://portal.mardi4nfdi.de/wiki/Publication:4151488 Sur l'approximation des solutions d'�quations diff�rentielles stochastiques] ⋮ Degenerate SDEs in Hilbert spaces with rough driftsStochastic differential equations with generalized stochastic volatility and statistical estimatorsUnnamed ItemStrong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficientsPathwise nonuniqueness for the SPDEs of some super-Brownian motions with immigrationThe second-order parabolic PDEs with singular coefficients and applicationsA general model system related to affine stochastic differential equationsDifferentiability preserving properties of markov semigroups associated with one-dimensional diffusionsOn extremal solutions of martingale problemsDegenerate SDE with Hölder--Dini Drift and Non-Lipschitz Noise CoefficientSuperposition of Diffusions with Linear Generator and its Multifractal Limit ProcessItô vs Stratonovich in the presence of absorbing statesExponential ergodicity of CIR interest rate model with random switchingMultifactor Approximation of Rough Volatility ModelsOn the strong comparison theorems for solutions of stochastic differential equationsEscape Probability for Stochastic Dynamical Systems with JumpsStochastic representation of solutions to degenerate elliptic and parabolic boundary value and obstacle problems with Dirichlet boundary conditionsConvergence rate of Euler scheme for time-inhomogeneous SDEs involving the local time of the unknown processExistence and uniqueness theorems for solutions of McKean–Vlasov stochastic equationsStrong solutions of SDEs with singular drift and Sobolev diffusion coefficientsStochastic optimal control of a evolutionary p-Laplace equation with multiplicative Lévy noiseOn a decomposition of symmetric diffusions with reflecting boundary conditions.Unnamed ItemUniqueness theorem of solutions for stochastic differential equation in the planeLarge deviations for stochastic integrodifferential equations of the Itô type with multiple randomnessA decomposition of Bessel BridgesThe dual Yamada–Watanabe theorem for mild solutions to stochastic partial differential equationsMartingale solutions to a stochastic smectic-A liquid crystal model with multiplicative noise of jump typeOn Feller and Strong Feller Properties and Exponential Ergodicity of Regime-Switching Jump Diffusion Processes with Countable RegimesStability Problem for One-Dimensional Stochastic Differential Equations with Discontinuous DriftLarge Deviations for Nonlinear Ito Type Stochastic Integrodifferential EquationsA Note on One-Dimensional Stochastic EquationsDistribution dependent SDEs driven by additive continuous noise




This page was built for publication: On the uniqueness of solutions of stochastic differential equations