The Method of Upper and Lower Solutions of Stochastic Differential Equations and Applications

DOI10.1080/07362990701670217zbMath1139.60323OpenAlexW2035621988MaRDI QIDQ5443462

Mariusz Michta, Nikolaos Halidias

Publication date: 21 February 2008

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990701670217

zbMATH Keywords

fixed pointslower and upper solutionsstochastic differential equationsrisk modelssemi martingales

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

Related Items (2)

Stochastic retarded inclusion with Carathéodory-upper separated multifunctions ⋮ The Upper and Lower Solutions Method for Stochastic Inclusions with Discontinuous Multivalued Mappings

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