On the Criteria for Existence of a Strong Solution of a Stochastic Equation

DOI10.1137/1127054zbMATH Open0517.60060OpenAlexW2019933570MaRDI QIDQ3665992FDOQ3665992

Authors: A. Yu. Veretennikov 

Publication date: 1982

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1127054

zbMATH Keywords

parabolic equationsstrong solutionstrong uniqueness

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Second-order parabolic equations (35K10)

Cited In (8)

• Some global topological properties of a free boundary problem appearing in a two dimensional controlled ruin problem
• Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift
• Ruin probability in a two-dimensional model with correlated Brownian motions
• Existence and uniqueness of solutions of SDEs with discontinuous drift and finite activity jumps
• Explicit representation of strong solutions of SDEs driven by infinite-dimensional Lévy processes
• Different topological solution structures in a two-dimensional controlled ruin problem depending on the optimization criterion
• Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient
• A Ruin Problem for a Two-Dimensional Brownian Motion with Controllable Drift in the Positive Quadrant

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