On solutions to Itô stochastic differential equations

DOI10.1016/S0377-0427(03)00477-1zbMath1027.60062MaRDI QIDQ1408412

Javier Villarroel

Publication date: 15 September 2003

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

zbMATH Keywords

strong solutionexplosion timestochastic ordinary differential equationsItô's equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Cites Work

• When is a stochastic integral a time change of a diffusion?
• Diffusion processes and their sample paths.
• The parabolic differential equations and the associated semigroups of transformation
• On second order differential operators
• On solutions of one-dimensional stochastic differential equations without drift
• A diffusion process and its applications to detecting a change in the drift of Brownian motion
• On explicit solutions to stochastic differential equations
• Stochastic Calculus
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