Extremal Properties of Solutions of Stochastic Equations

DOI10.1137/1129033zbMath0557.60042OpenAlexW1983481408MaRDI QIDQ3221126

Nicolai V. Krylov

Publication date: 1985

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1129033

zbMATH Keywords

existence and uniqueness theoremextremal path

Mathematics Subject Classification ID

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

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Rate of convergence of Euler's approximations for SDEs with non-Lipschitz coefficients ⋮ Convergence in probability for perturbed stochastic integral equations ⋮ Existence of strong solutions for Itô's stochastic equations via approximations ⋮ A self-dual variational approach to stochastic partial differential equations ⋮ A strongly monotonic polygonal Euler scheme ⋮ Stochastic PDEs via convex minimization ⋮ On strong solutions of Itô's equations with \(\sigma\in W_{\mathtt{d}}^1\) and \(\mathtt{b}\in{L_{\mathtt{d}}}\) ⋮ Existence of strong solutions for Itô's stochastic equations via approximations: revisited

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