One-dimensional stochastic differential equations with singular and degenerate coefficients

Publication date 13 August 2010

comparison principle stochastic differential equations strong solution pathwise uniqueness singular drift degenerate coefficients

Mathematics Subject Classification ID

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

Recommendations

One-dimensional stochastic differential equations involving a singular increasing process
Stochastic differential equations with singular drift
Sur l'unicite forte des solutions d'une equation differentielle stochastique avec drift singulier dependant du temps en dimension un
scientific article; zbMATH DE number 3868360
Some properties of diffusion processes with singular coefficients

Cited in

(33)

One-dimensional stochastic differential equations involving a singular increasing process
On some properties of sticky Brownian motion
One-dimensional SDEs with LPS-type singular drift coefficients and Hölder continuous diffusion coefficients
One-dimensional heat equation with discontinuous conductance
Brownian motion on some spaces with varying dimension
Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions
Some properties of diffusion processes with singular coefficients
On the pathwise uniqueness for a class of degenerate Itô-stochastic differential equations
On degenerate stochastic equations of Itô type with jumps
Singular Brownian diffusion processes
One-dimensional stochastic differential equations with generalized and singular drift
On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media
Bouncing skew Brownian motions
Periodic homogenization with an interface: the one-dimensional case
On some functional inequalities for skew Brownian motion
scientific article; zbMATH DE number 1304736 (Why is no real title available?)
Pathwise uniqueness for a degenerate stochastic differential equation
Stochastic differential equations for Dirichlet processes
On the solution of a one-dimensional stochastic differential equation with singular drift coefficient
Some properties of doubly skewed CIR processes
Reversibility of whole-plane SLE
A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
The Dynamics of Instability
Multi-skewed Brownian motion and diffusion in layered media
On symmetric and skew Bessel processes
On the Euler-Maruyama scheme for degenerate stochastic differential equations with non-sticky condition
Strong solutions of stochastic differential equations involving local times
Stochastic differential equations with discontinuous diffusion coefficients
Strong comparison result for a class of reflected stochastic differential equations with non-Lipschitzian coefficients
Two Brownian particles with rank-based characteristics and skew-elastic collisions
Distance between two skew Brownian motions as a S.D.E. With jumps and law of the hitting time
Stochastic model for barrier crossings and fluctuations in local timescale
Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero

This page was built for publication: One-dimensional stochastic differential equations with singular and degenerate coefficients

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3580550)