A comparison theorem for stochastic differential equations under the Novikov condition

DOI10.1007/s11118-014-9413-xzbMath1307.60081arXiv1307.3455OpenAlexW2099952838MaRDI QIDQ471045

Alberto Lanconelli

Publication date: 13 November 2014

Published in: Potential Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.3455

zbMATH Keywords

stochastic differential equationscomparison theoremsconvex envelopeGirsanov theoremNovikov condition

Mathematics Subject Classification ID

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

Cites Work

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