Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions
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Publication:297469
DOI10.1214/14-AIHP660zbMath1346.45010arXiv1312.7257OpenAlexW1480504721MaRDI QIDQ297469
Ioannis Karatzas, Johannes Ruf
Publication date: 27 June 2016
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1312.7257
existenceuniquenesscomparison theoremsupport theoremgeneralized driftStratonovich integralstochastic integral equationWong-Zakai approximationordinary integral equationpathwise solvability
Related Items (4)
Distribution of the time to explosion for one-dimensional diffusions ⋮ One-dimensional game-theoretic differential equations ⋮ Multidimensional stochastic differential equations with distributional drift ⋮ Elliptic PDEs with distributional drift and backward SDEs driven by a càdlàg martingale with random terminal time
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