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

DOI10.1002/MANA.19891430115MaRDI QIDQ3477754zbMATH OpenOpenAlexWikidataFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3206627 (Why is no real title available?)
• On the sets of convergence of generalized submartingales

Cited in

(18)

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• 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
• scientific article; zbMATH DE number 4138872 (Why is no real title available?)
• On exponential local martingales associated with strong Markov continuous local martingales
• scientific article; zbMATH DE number 775009 (Why is no real title available?)
• On the loss of the semimartingale property at the hitting time of a level
• Brownian Representations of Cylindrical Local Martingales, Martingale Problem and Strong Markov Property of Weak Solutions of SPDEs in Banach Spaces
• scientific article; zbMATH DE number 3949409 (Why is no real title available?)
• A mathematical theory of financial bubbles
• Strong solutions of some one-dimensional SDEs with random and unbounded drifts
• Pathwise uniqueness of non-uniformly elliptic SDEs with rough coefficients
• Strong solutions to stochastic differential equations with rough coefficients
• On solutions of one-dimensional stochastic differential equations without drift
• On symmetric and skew Bessel processes
• On the pathwise uniqueness of solutions of one-dimensional stochastic differential equations with jumps

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