Existence and pathwise uniqueness of solutions for stochastic differential equations involving the local time at point zero
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Publication:5880397
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Cites work
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- Absolute continuity of the laws of perturbed diffusion processes and perturbed reflected diffusion processes
- Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process
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- Brownian motion and random walk perturbed at extrema
- Enlacements du Mouvement Brownien Autour Des Courbes de L'Espace
- ON ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS INVOLVING THE MAXIMUM PROCESS
- On the existence of a time inhomogeneous skew Brownian motion and some related laws
- On the time inhomogeneous skew Brownian motion
- One-dimensional stochastic differential equations with generalized and singular drift
- Pathwise uniqueness for perturbed versions of Brownian motion and reflected Brownian motion
- Some calculations for doubly perturbed Brownian motion
- Some extensions of the arc sine law as partial consequences of the scaling property of Brownian motion
- Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero
- Time inhomogeneous stochastic differential equations involving the local time of the unknown process, and associated parabolic operators
- Weak limits of perturbed random walks and the equation \(Y_ t = B_ t+\alpha\sup\{Y_ s:s \leq t\} + \beta\inf\{Y_ s:s\leq t\}\)
Cited in
(8)- Zero noise limit of a stochastic differential equation involving a local time
- The truncated Euler-Maruyama method of one-dimensional stochastic differential equations involving the local time at point zero
- Pathwise uniqueness of stochastic differential equations with local times
- Carathéodory approximate solutions for a class of perturbed reflected stochastic differential equations with irregular coefficients
- On the quasi-everywhere existence of the local time of the solution of a stochastic differential equation
- Path-wise uniqueness of solutions to stochastic differential equations with local time and sojourn time on the boundary
- Carathéodory approximate solutions for a class of stochastic differential equations involving the local time at point zero with one-sided Lipschitz continuous drift coefficients
- Existence and uniqueness of solutions for perturbed stochastic differential equations with reflected boundary
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