On comparison theorem for optional SDEs via local times and applications

DOI10.1080/17442508.2021.1935953MaRDI QIDQ5086909zbMATH OpenOpenAlexFDO

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

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

(4)

• Criteria for what makes a local optional martingale a true martingale
• Parameter estimation in optional semimartingale regression models
• A comparison theorem for stochastic equations of optional semimartingales
• Optional projection under equivalent local martingale measures

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