On the Criteria for Existence of a Strong Solution of a Stochastic Equation

DOI10.1137/1127054zbMath0517.60060OpenAlexW2019933570MaRDI QIDQ3665992

Alexander Yu. Veretennikov

Publication date: 1982

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1127054

zbMATH Keywords

strong solutionparabolic equationsstrong uniqueness

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Second-order parabolic equations (35K10)

Related Items (7)

Some global topological properties of a free boundary problem appearing in a two dimensional controlled ruin problem ⋮ Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient ⋮ Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift ⋮ Existence and uniqueness of solutions of SDEs with discontinuous drift and finite activity jumps ⋮ Explicit representation of strong solutions of SDEs driven by infinite-dimensional Lévy processes ⋮ A Ruin Problem for a Two-Dimensional Brownian Motion with Controllable Drift in the Positive Quadrant ⋮ Ruin probability in a two-dimensional model with correlated Brownian motions

This page was built for publication: On the Criteria for Existence of a Strong Solution of a Stochastic Equation