Some identities on local times and uniqueness of solutions of stochastic differential equations with reflection

DOI10.1016/0304-4149(93)90052-6zbMath0793.60060OpenAlexW2076711808MaRDI QIDQ1312301

Y. Oukine

Publication date: 11 August 1994

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

Full work available at URL: https://doi.org/10.1016/0304-4149(93)90052-6

zbMATH Keywords

semimartingalesstochastic differential equationslocal timepathwise uniqueness

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Local time and additive functionals (60J55)

Related Items (7)

On the Pathwise Uniqueness of Solutions of One-Dimensional Stochastic Differential Equations with Jumps ⋮ Path-wise uniqueness of solutions to stochastic differential equations with local time and sojourn time on the boundary ⋮ ON ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS INVOLVING THE MAXIMUM PROCESS ⋮ Balayage formula, local time and applications in stochastic differential equations ⋮ Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve ⋮ Carathéodory approximate solutions for a class of perturbed stochastic differential equations with reflecting boundary ⋮ Pathwise uniqueness of non-uniformly elliptic SDEs with rough coefficients

Cites Work

• Fonctions de semimartingales et applications aux equations differentielles stochastiques
• Généralisation d'un lemme de s. nakao et applications
• ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS
• Unnamed Item

This page was built for publication: Some identities on local times and uniqueness of solutions of stochastic differential equations with reflection