Weak and strong solutions of stochastic differential equations

DOI10.1080/17442508008833143zbMATH Open0434.60061OpenAlexW2001975178MaRDI QIDQ3873264FDOQ3873264

Publication date: 1980

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508008833143

strong solutions weak solutions semimartingales

Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

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On the existence, uniqueness, convergence and explosions of solutions of systems of stochastic integral equations
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On a stopped Doob's inequality and general stochastic equations
On the existence and unicity of solutions of stochastic integral equations
Quasimartingales, martingales locales, semimartingales et filtration naturelle
Right-continuous solutions of systems of stochastic integral equations
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On a stochastic integral equation with respect to a weak martingale

Cited In (22)

Yamada-Watanabe results for stochastic differential equations with jumps
Nonlinear continuous semimartingales
Weak solutions of backward stochastic differential equations with continuous generator
Uniqueness of the nonlinear Schrödinger equation driven by jump processes
Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
Robust utility maximization with nonlinear continuous semimartingales
Construction of Malliavin differentiable strong solutions of SDEs under an integrability condition on the drift without the Yamada-Watanabe principle
On Cherny's results in infinite dimensions: a theorem dual to Yamada-Watanabe
No arbitrage in continuous financial markets
Statistical causality, martingale problems and local uniqueness
Statistical causality, extremal measures and weak solutions of stochastic differential equations with driving semimartingales
A stability theorem for stochastic differential equations and application to stochastic control problems
Causal predictability between stochastic processes and filtrations
A dual Yamada-Watanabe theorem for Lévy driven stochastic differential equations
Martingale measures and stochastic calculus
The stochastic Gierer-Meinhardt system
Nonlinear semimartingales and Markov processes with jumps
On Weak Solutions to Stochastic Differential Inclusions Driven by Semimartingales
Causal predictability and weak solutions of the stochastic differential equations with driving semimartingales
On a theorem by A.S. Cherny for semilinear stochastic partial differential equations
Lyapunov criteria for the Feller-Dynkin property of martingale problems
Compactification methods in the control of degenerate diffusions: existence of an optimal control

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