scientific article; zbMATH DE number 3868360

MaRDI QIDQ3334733zbMATH OpenFDO

Authors H.-J. Engelbert, Wolfgang M. Schmidt

Publication date 1984

zbMATH Keywords

existence and uniqueness of solutionsexistence of a pathwise unique strong solutionlocal time

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Local time and additive functionals (60J55) Diffusion processes (60J60)

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(39)

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• On the strong convergence rate for the Euler-Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local time
• On path-dependent SDEs involving distributional drifts
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• Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift
• One-dimensional stochastic differential equations with generalized and singular drift
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• The first passage time on the (reflected) Brownian motion with broken drift hitting a random boundary
• One-dimensional stochastic differential equations with generalized drift
• A Note on One-Dimensional Stochastic Equations
• On Stochastic Differential Equations with Locally Unbounded Drift
• REGULARIZING PROPERTIES OF BROWNIAN PATHS AND A RESULT OF DAVIE
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• Strong solutions of stochastic differential equations involving local times
• Balayage formula, local time and applications in stochastic differential equations
• On symmetric and skew Bessel processes
• Generalized calculus and sdes with non regular drift
• Construction of local solutions to sde's with singular drift
• On the Generalized Drift Skorokhod Problem in One Dimension
• The stochastic solution to a Cauchy problem for degenerate parabolic equations
• On the uniqueness of solutions of stochastic differential equations with singular drifts
• On one-dimensional stochastic differential equations driven by stable processes
• Stochastic differential equations for Dirichlet processes
• Stochastic differential equations with discontinuous diffusion coefficients
• Variability of paths and differential equations with \(\mathrm{BV}\)-coefficients
• A diffusion-type process with a given joint law for the terminal level and supremum at an independent exponential time
• On the martingale property of certain local martingales
• On existence and stability of weak solutions of multidimensional stochastic differential equations with measurable coefficients
• On exponential local martingales associated with strong Markov continuous local martingales

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