Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part I)

DOI10.1002/MANA.19891430115zbMATH Open0699.60044OpenAlexW2111547666WikidataQ126263787 ScholiaQ126263787MaRDI QIDQ3477754FDOQ3477754

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

Publication date: 1989

Published in: Mathematische Nachrichten (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mana.19891430115

Recommendations

• Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part III)
• Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part II)
• Publication:3471276
• scientific article; zbMATH DE number 4192800
• scientific article; zbMATH DE number 4054733

zbMATH Keywords

stochastic differential equationsstrong Markov continuous local martingales

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Martingales with continuous parameter (60G44)

Cites Work

• Title not available (Why is that?)
• On the sets of convergence of generalized submartingales

Cited In (18)

• Standard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistent
• One-dimensional stochastic differential equations with generalized and singular drift
• Title not available (Why is that?)
• Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process
• Brownian Representations of Cylindrical Local Martingales, Martingale Problem and Strong Markov Property of Weak Solutions of SPDEs in Banach Spaces
• On the loss of the semimartingale property at the hitting time of a level
• Pathwise uniqueness of non-uniformly elliptic SDEs with rough coefficients
• On symmetric and skew Bessel processes
• A mathematical theory of financial bubbles
• Strong solutions of some one-dimensional SDEs with random and unbounded drifts
• The local principle of large deviations for solutions of Itô stochastic equations with quick drift
• On exponential local martingales associated with strong Markov continuous local martingales
• Title not available (Why is that?)
• On solutions of one-dimensional stochastic differential equations without drift
• On the pathwise uniqueness of solutions of one-dimensional stochastic differential equations with jumps
• Title not available (Why is that?)
• Strong solutions to stochastic differential equations with rough coefficients
• Local times of continuous N-parameter strong martingales

This page was built for publication: Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part I)

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3477754)