On the pathwise uniqueness of solutions of one-dimensional stochastic differential equations
From MaRDI portal
Publication:2558710
zbMath0255.60039MaRDI QIDQ2558710
Publication date: 1972
Published in: Osaka Journal of Mathematics (Search for Journal in Brave)
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)
Related Items (40)
Local time flow related to skew Brownian motion. ⋮ Generalized integration and stochastic ODEs ⋮ Representation of solutions to sticky stochastic differential equations ⋮ Investment Timing with Incomplete Information and Multiple Means of Learning ⋮ The parametrix method for skew diffusions ⋮ An \(M/M/s\)-consistent diffusion model for the \(GI/G/s\) queue ⋮ Functional law of the iterated logarithm type for a skew Brownian motion ⋮ Existence of strong solutions for Itô's stochastic equations via approximations ⋮ Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients ⋮ The Peano phenomenon for Itō equations ⋮ Controlling the occupation time of an exponential martingale ⋮ Balayage formula, local time and applications in stochastic differential equations ⋮ Optimal contract with moral hazard for Public Private Partnerships ⋮ Stability problems for Cantor stochastic differential equations ⋮ Stochastic differential equations with discontinuous diffusion coefficients ⋮ The skew Brownian permuton: A new universality class for random constrained permutations ⋮ On the smoothness of value functions and the existence of optimal strategies in diffusion models ⋮ HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION? ⋮ Limit behaviour of random walks on ℤmwith two-sided membrane ⋮ Planar diffusions with rank-based characteristics and perturbed Tanaka equations ⋮ Skew-Unfolding the Skorokhod Reflection of a Continuous Semimartingale ⋮ On the Euler–Maruyama Scheme for Degenerate Stochastic Differential Equations with Non-sticky Condition ⋮ On a Construction of Strong Solutions for Stochastic Differential Equations with Non-Lipschitz Coefficients: A Priori Estimates Approach ⋮ Two Brownian particles with rank-based characteristics and skew-elastic collisions ⋮ Optimal Consumption in the Stochastic Ramsey Problem without Boundedness Constraints ⋮ Pathwise uniqueness for a degenerate stochastic differential equation ⋮ On the Euler-Maruyama scheme for SDEs with bounded variation and Hölder continuous coefficients ⋮ Taxation, agency conflicts, and the choice between callable and convertible debt ⋮ Stochastic differential equations driven by stable processes for which pathwise uniqueness fails ⋮ On weak uniqueness for some diffusions with discontinuous coefficients ⋮ Large-noise asymptotic for one-dimensional diffusions ⋮ Advection-dispersion across interfaces ⋮ On strong solutions of Itô's equations with \(\sigma\in W_{\mathtt{d}}^1\) and \(\mathtt{b}\in{L_{\mathtt{d}}}\) ⋮ On the pathwise uniqueness of solutions of one-dimensional stochastic differential equations of jump type ⋮ Asymmetric skew Bessel processes and their applications to finance ⋮ Approximation of ordinary differential equations by stochastic differential equations ⋮ Existence of strong solutions for Itô's stochastic equations via approximations: revisited ⋮ Regularization of differential equations by fractional noise. ⋮ On the strong convergence rate for the Euler-Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local time ⋮ Approximation and Stability of Solutions of SDEs Driven by a Symmetric α Stable Process with Non-Lipschitz Coefficients
This page was built for publication: On the pathwise uniqueness of solutions of one-dimensional stochastic differential equations
