Stochastic differential equation in a random environment

DOI10.1007/S10958-018-3805-1zbMath1391.60142OpenAlexW2801603262WikidataQ115382248 ScholiaQ115382248MaRDI QIDQ1645317

Sergei Ya. Makhno, Sergei Anatol'evich Melnyk

Publication date: 28 June 2018

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-018-3805-1

zbMATH Keywords

weak solutionrandom mediumstrong solutionstochastic equationtelegraph process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Processes in random environments (60K37)

Cites Work

• Strong uniqueness of solutions of stochastic differential equations with jumps and non-Lipschitz random coefficients
• Stochastic differential equations with random coefficients
• Theory of stochastic differential equations with jumps and applications.
• Stochastic equations: theory and applications in acoustics, hydrodynamics, magnetohydrodynamics, and radiophysics. Volume 2. Coherent phenomena in stochastic dynamic systems. Translated from the Russian by A. Vinogradov
• Properties of solutions of stochastic differential equations with random coefficients, non-Lipschitzian diffusion, and Poisson measures
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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