Path-wise uniqueness of solutions to stochastic differential equations with local time and sojourn time on the boundary

DOI10.1007/S13370-011-0002-5MaRDI QIDQ351528zbMATH OpenOpenAlexFDO

Authors Rachid Belfadli, Youssef Ouknine

Publication date 8 July 2013

Published in Afrika Matematika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1003.5781

zbMATH Keywords

pathwise uniquenessone-dimensional stochastic differential equations

Mathematics Subject Classification ID

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

Abstract: English version of the abstract. We study path-wise uniqueness property of a class of stochastic differential equations with local time and sojourn time in the boundary. ----- French version of the abstract. Nous 'etudions l'unicit'e trajectorielle des solutions d'une classe dequations diff'erentielles stochastiques avec temps local et temps de s'ejour au bord. Nous utilisons le probl'eme des martingales associ'e pour montrer qu'il y a unicit'e en loi, puis nous 'etablissons que le supremum de deux solutions est encore une solution.

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Cites work

• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• Etude d'une équation différentielle stochastique non linéaire avec temps local, modèle limité pour un système de particules avec interaction à la frontière. (Study of a nonlinear stochastic differential equation with local times, limit model for a
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Cited in

(7)

• Existence and pathwise uniqueness of solutions for stochastic differential equations involving the local time at point zero
• Sojourn measures for solutions of some stochastic differential equations
• Pathwise uniqueness of stochastic differential equations with local times
• On the solutions of stochastic differential equations involving the local times of the unknown processes
• Strong solutions of stochastic differential equations involving local times
• On the pathwise uniqueness of solutions of one-dimensional stochastic differential equations with jumps
• Balayage formula, local time and applications in stochastic differential equations

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