Some generic properties of stochastic differential equations

DOI10.1080/17442509608834062MaRDI QIDQ4364127zbMATH OpenOpenAlexFDO

Authors Khaled Bahlali, Brahim Mezerdi, Youssef Ouknine

Publication date 9 August 1998

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442509608834062

zbMATH Keywords

Baire spacepairwise uniquenessstochastic differential equationsstrong solutions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Review text

This paper is devoted to the consideration of the stochastic differential equation \[ dX_t= \sigma(t, X_t)dB_t+ b(t, X_t)dt,\quad X_0= x, \] it being desired to find strong solutions without the pathwise uniqueness criterion. More specifically, the authors examine the set of all \((\sigma, b)\) for which (a) the SDE has a unique strong solution with non-random initial data; (b) as in (a), with the approximate solutions given by Picard iterations converging in quadratic mean; and (c) the Euler scheme of numerical solutions converges to the solution. It is also shown that the results obtained on successive approximation and Euler scheme approximations hold for stochastic differential equations with measurable drift and non-degenerate diffusion coefficient.

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Cited in

(7)

• The Euler scheme with irregular coefficients
• Stability and prevalence of Mckean-Vlasov stochastic differential equations with non-Lipschitz coefficients
• Genericity in deterministic and stochastic differential equations
• Constructing an SDE from its two-point generator
• Pathwise uniqueness and approximation of solutions of stochastic differential equations
• Approximation of solutions of mean-field stochastic differential equations
• Generic properties of McKean-Vlasov stochastic differential equations

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