One-dimensional stochastic differential equations with singular and degenerate coefficients

zbMATH Open1192.60081MaRDI QIDQ3580550FDOQ3580550

Authors: Richard F. Bass, Zhen-Qing Chen

Publication date: 13 August 2010

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Mathematics Subject Classification ID

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

Cited In (33)

One-dimensional heat equation with discontinuous conductance
On the pathwise uniqueness for a class of degenerate Itô-stochastic differential equations
Some properties of diffusion processes with singular coefficients
Brownian motion on some spaces with varying dimension
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On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media
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Periodic homogenization with an interface: the one-dimensional case
On some functional inequalities for skew Brownian motion
Title not available (Why is that?)
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On the solution of a one-dimensional stochastic differential equation with singular drift coefficient
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The Dynamics of Instability
Multi-skewed Brownian motion and diffusion in layered media
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
On symmetric and skew Bessel processes
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
One-dimensional stochastic differential equations involving a singular increasing process
Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero
On some properties of sticky Brownian motion
One-dimensional SDEs with LPS-type singular drift coefficients and Hölder continuous diffusion coefficients

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