Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part I)
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Publication:3477754
DOI10.1002/mana.19891430115zbMath0699.60044OpenAlexW2111547666WikidataQ126263787 ScholiaQ126263787MaRDI QIDQ3477754
Hans-Jürgen 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
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Ordinary differential equations and systems with randomness (34F05)
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On exponential local martingales associated with strong Markov continuous local martingales ⋮ Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process ⋮ The local principle of large deviations for solutions of Itô stochastic equations with quick drift ⋮ Strong solutions to stochastic differential equations with rough coefficients ⋮ On the Pathwise Uniqueness of Solutions of One-Dimensional Stochastic Differential Equations with Jumps ⋮ On the loss of the semimartingale property at the hitting time of a level ⋮ On symmetric and skew Bessel processes ⋮ One-dimensional stochastic differential equations with generalized and singular drift ⋮ Standard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistent ⋮ On solutions of one-dimensional stochastic differential equations without drift ⋮ Strong Solutions of Some One-dimensional SDEs with Random and Unbounded Drifts ⋮ A Mathematical Theory of Financial Bubbles ⋮ Pathwise uniqueness of non-uniformly elliptic SDEs with rough coefficients
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