Uniqueness for a historical SDE with a singular interaction (Q1266792)
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scientific article; zbMATH DE number 1208797
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Uniqueness for a historical SDE with a singular interaction |
scientific article; zbMATH DE number 1208797 |
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Uniqueness for a historical SDE with a singular interaction (English)
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30 May 1999
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It is proved the existence and pathwise uniqueness for a stochastic differential equation where the drift part has a discontinuity and evolves in a nonlinear manner. Approximating the singular drift by a bounded and globally Lipschitz continuous function and using Perkins theorem are the main tools for proving the issues. The paper is written in a clear manner, and proofs are given in detail. It is recommended for mathematicians specialized in stochastic differential equations.
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stochastic differential equations
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singular drift
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existence and uniqueness
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