A Note on One-Dimensional Stochastic Equations

DOI10.1023/A:1013756627534zbMath1001.60059MaRDI QIDQ3151356

Hans-Jürgen Engelbert

Publication date: 15 October 2002

Published in: Czechoslovak Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/30666

zbMATH Keywords

Brownian motionexistence of solutionsuniqueness in lawcontinuous local martingalesone-dimensional stochastic equationsrepresentation propertytime-dependent diffusion coefficients

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Martingales with continuous parameter (60G44) Diffusion processes (60J60)

Cites Work

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• Calcul stochastique et problèmes de martingales
• On the uniqueness of solutions of stochastic differential equations
• On one-dimensional stochastic differential equations without drift and with time-dependent diffusion coefficients
• On solutions of one-dimensional stochastic differential equations without drift
• Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part III)
• Stochastic Integrals of Continuous Local Martingales, II
• On stochastic differential equations without drift
• On the theorem of T. Yamada and S. Watanabe
• On driftless one-dimensional sdes with time-dependent diffusion coefficients

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