A note on strong solutions of stochastic differential equations with a discontinuous drift coeffi\-cient

DOI10.1155/JAMSA/2006/73257zbMATH Open1118.60051OpenAlexW2014141900MaRDI QIDQ871363FDOQ871363

Authors: Nikolaos Halidias, Peter E. Kloeden 

Publication date: 19 March 2007

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/53343

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zbMATH Keywords

comparison theoremexistencestrong solution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Monotone random systems theory and applications
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• Stochastic differential equations. An introduction with applications.
• Random differential inequalities
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• On weak uniqueness for some diffusions with discontinuous coefficients
• One Dimensional Stochastic Differential Equations with No Strong Solution
• The behavior of solutions of stochastic differential inequalities
• On fixed points of multifunctions in ordered spaces
• On diffusion approximation with discountinuous coefficients.

Cited In (20)

• On One Approach to Mathematical Modeling of Socio-EconomicDevelopment of Regions
• Optimal control of an energy storage facility under a changing economic environment and partial information
• Strong convergence of split-step backward Euler method for stochastic age-dependent capital system with Markovian switching
• An existence theorem for stochastic functional differential equations with delays under weak assumptions
• Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance
• Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift
• Stochastic serotonin model with discontinuous drift
• Lower error bounds and optimality of approximation for jump-diffusion SDEs with discontinuous drift
• Mean-field stochastic differential equations with a discontinuous diffusion coefficient
• Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift
• The asymptotic error of chaos expansion approximations for stochastic differential equations
• Forward backward SDEs in weak formulation
• Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift
• A note on the Euler-Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient
• On weak uniqueness for some diffusions with discontinuous coefficients
• A note on strong solutions of stochastic differential equations with a discontinuous drift coefficient
• Strong solutions to stochastic equations with Lévy noise and a discontinuous drift coefficient
• Title not available (Why is that?)
• Stochastic differential equations—some new ideas
• Edgeworth expansion for Euler approximation of continuous diffusion processes

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