A general model system related to affine stochastic differential equations

DOI10.1142/S0219493721500015zbMATH Open1466.60113OpenAlexW3007649547MaRDI QIDQ4965634FDOQ4965634

Authors: Enrico Bernardi, Vinayak Chuni, A. Lanconelli 

Publication date: 9 March 2021

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493721500015

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zbMATH Keywords

stochastic differential equationssquare root processFeller conditionAllen's methodDuffie-Kan theoremmultidimentional system

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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• Pathwise uniqueness of multi-dimensional stochastic differential equations with Hölder diffusion coefficients

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