On solutions of one-dimensional stochastic differential equations without drift

DOI10.1007/BF00532642zbMath0535.60049OpenAlexW1976299343MaRDI QIDQ3319515

Wolfgang M. Schmidt, Hans-Jürgen Engelbert

Publication date: 1985

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00532642

zbMATH Keywords

weak solutionadditive functionalsrandom time changelocal martingalesstrong Markov solutions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Local time and additive functionals (60J55)

Related Items

On stochastic differential equations driven by a Cauchy process and other stable Lévy motions ⋮ Representation of solutions to sticky stochastic differential equations ⋮ Constructing functions with prescribed pathwise quadratic variation ⋮ Numerical approximation of irregular SDEs via Skorokhod embeddings ⋮ Minimising the expected commute time ⋮ On a generalization of the theorem of p. levy ⋮ On solutions of stochastic differential equations with drift ⋮ Nonsemimartingales: stochastic differential equations and weak Dirichlet processes ⋮ Robust deep hedging ⋮ Stability problems for Cantor stochastic differential equations ⋮ Stochastic differential equations with discontinuous diffusion coefficients ⋮ Variability of paths and differential equations with \(\mathrm{BV}\)-coefficients ⋮ On the pathwise uniqueness for a class of degenerate Itô-stochastic differential equations ⋮ On solutions to Itô stochastic differential equations ⋮ Wasserstein convergence rates for random bit approximations of continuous Markov processes ⋮ On symmetric and skew Bessel processes ⋮ On strong Markov property for Fleming-Viot processes ⋮ On the Euler–Maruyama Scheme for Degenerate Stochastic Differential Equations with Non-sticky Condition ⋮ A diffusion-type process with a given joint law for the terminal level and supremum at an independent exponential time ⋮ On point measures of \(\varepsilon\)-upcrossings for stationary diffusions. ⋮ Existence and uniqueness results for time-inhomogeneous time-change equations and Fokker-Planck equations ⋮ Some parabolic PDEs whose drift is an irregular random noise in space ⋮ Pathwise uniqueness for a degenerate stochastic differential equation ⋮ Time change equations for Lévy-type processes ⋮ Semimartingales on rays, Walsh diffusions, and related problems of control and stopping ⋮ Diffusion-type models with given marginal distribution and autocorrelation function ⋮ A functional limit theorem for coin tossing Markov chains ⋮ Stratonovich stochastic differential equation with irregular coefficients: Girsanov's example revisited ⋮ Stochastic differential equations for sticky Brownian motion ⋮ Measure-valued flows given consistent exchangeable families ⋮ A canonical setting and separating times for continuous local martingales ⋮ On driftless one-dimensional sdes with time-dependent diffusion coefficients ⋮ On solutions of one-dimensional stochastic differential equations driven by stable Lévy motion ⋮ Properties of the EMCEL scheme for approximating irregular diffusions ⋮ On modelling long term stock returns with ergodic diffusion processes: arbitrage and arbitrage-free specifications ⋮ Approximating exit times of continuous Markov processes ⋮ Pathwise uniqueness of non-uniformly elliptic SDEs with rough coefficients ⋮ Finiteness of integrals of functions of Lévy processes ⋮ A Note on One-Dimensional Stochastic Equations

Cites Work

• Solution of stochastic differential equations by random time change
• Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part I)
• Integral representation with respect to stopped continuous local martingales
• On extremal solutions of martingale problems
• Stochastic Integrals of Continuous Local Martingales, I
• Stochastic Integrals of Continuous Local Martingales, II
• Generalized Ito's formula and additive functionals of Brownian motion
• Note on continuous additive functional of the 1-dimensional Brownian path
• Changes of time, stochastic integrals, and weak martingales
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item