A Regularity Condition for Non-Markovian Solutions of Stochastic Differential Equations in the Plane

DOI10.1002/MANA.19901490109MaRDI QIDQ3209950zbMATHOpenAlexFDO

Authors Rainer Buckdahn

Publication date 1990

Published in Mathematische Nachrichten (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/mana.19901490109

zbMATH Keywords

Malliavin calculussmooth densitytwo-parameter stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Recommendations

• Existence of Weak Solutions to Stochastic Differential Equations in the Plane with Continuous Coefficients
• On the existence and uniqueness of solutions to stochastic differential equations of mixed Brownian and Poissonian sheet type.
• On the existence of solutions with smooth density of stochastic differential equations in plane
• Stochastic differential equations on the plane: Smoothness of the solution
• The pathwise uniqueness of solution of non-Markovian stochastic differential equations with jumps in plane

Cites work

• Derivatives of Wiener functionals and absolute continuity of induced measures
• Existence of strong solutions for stochastic differential equations in the plane
• Stochastic equations of hyperbolic type and a two-parameter Stratonovich calculus
• The Malliavin calculus

Cited in

(5)

• On the existence and uniqueness of solutions to stochastic differential equations of mixed Brownian and Poissonian sheet type.
• Smoothness of densities for path-dependent SDEs under Hörmander's condition
• A Three-Field Finite Element Method for Elliptic Partial Differential Equations Driven by Stochastic Loads
• Stratonovich Anticipative Stochastic Differential Equations In The Plane
• On numerical solution of stochastic partial differential equations of elliptic type

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