One-dimensional stochastic differential equations involving a singular increasing process

DOI10.1080/17442508408833303zbMATH Open0543.60065OpenAlexW2017850647MaRDI QIDQ3332029FDOQ3332029

Authors: Martin T. Barlow, Edwin Perkins 

Publication date: 1984

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508408833303

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zbMATH Keywords

comparison theoremslocal timestrong solutionsExistence and uniqueness questionsminimal and maximal strong solutions

Mathematics Subject Classification ID

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

Cites Work

• Adapted Probability Distributions
• On the existence, uniqueness, convergence and explosions of solutions of systems of stochastic integral equations
• On the Strong Solutions of Stochastic Differential Equations
• One Dimensional Stochastic Differential Equations with No Strong Solution
• On the existence and unicity of solutions of stochastic integral equations
• On properties of strong solutions of stochastic equations with respect to semimartingales
• Title not available (Why is that?)

Cited In (29)

• Some properties of diffusion processes with singular coefficients
• Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions
• A new proof for comparison theorems for stochastic differential inequalities with respect to semimartingales
• Stochastic differential equations with singular drift
• Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve
• On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
• On comparison theorem for optional SDEs via local times and applications
• Backward stochastic differential equations with continuous coefficient
• On the uniqueness of solutions of stochastic differential equations with singular drifts
• Comparison theorems for the multidimensional BDSDEs and applications
• Singular stochastic differential equations.
• Unique strong solutions of Lévy processes driven stochastic differential equations with discontinuous coefficients
• Strong comparison of solutions of one-dimensional stochastic differential equations
• Stochastic differential equations for Dirichlet processes
• STOCHASTIC EQUATIONS OF PROCESSES WITH JUMPS
• Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes
• Invariant Distributions for Singular Stochastic Differential Equations
• On solutions of stochastic differential equations with drift
• Multi-dimensional Bessel processes as heavy traffic limits of certain tandem queues
• Semi-discrete approximations for stochastic differential equations and applications
• Pathwise uniqueness of non-uniformly elliptic SDEs with rough coefficients
• One-dimensional stochastic differential equations with singular and degenerate coefficients
• Anticipative stochastic differential equations with nonsmooth diffusion coefficient
• ON ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS INVOLVING THE MAXIMUM PROCESS
• On the pathwise uniqueness of solutions of one-dimensional stochastic differential equations with jumps
• On the strong uniqueness of a solution to singular stochastic differential equations
• Strong solutions of SDEs with singular drift and Sobolev diffusion coefficients
• Balayage formula, local time and applications in stochastic differential equations
• One-dimensional SDEs with LPS-type singular drift coefficients and Hölder continuous diffusion coefficients

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