On comparison theorem for optional SDEs via local times and applications

DOI10.1080/17442508.2021.1935953zbMATH Open1496.60059OpenAlexW3199769527MaRDI QIDQ5086909FDOQ5086909

Authors: Mohamed N. Abdelghani, Andrey Pak, Alexander Melnikov 

Publication date: 8 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2021.1935953

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zbMATH Keywords

comparison theoremlocal timenon-Lipschitz conditionlaglad processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Stochastic integral equations (60H20)

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Cited In (2)

• Parameter estimation in optional semimartingale regression models
• Optional projection under equivalent local martingale measures

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