Skew brownian motion and a one dimensional stochastic differential equation

DOI10.1080/17442508808833528zbMath0657.60075OpenAlexW1969741290WikidataQ115295040 ScholiaQ115295040MaRDI QIDQ3805572

Martin T. Barlow

Publication date: 1988

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508808833528

zbMATH Keywords

pathwise uniquenessno strict solution

Mathematics Subject Classification ID

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

Related Items (11)

Generalized integration and stochastic ODEs ⋮ On first hitting times for skew CIR processes ⋮ Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process ⋮ Timing in the presence of directional predictability: optimal stopping of skew Brownian motion ⋮ Some properties of doubly skewed CIR processes ⋮ Planar diffusions with rank-based characteristics and perturbed Tanaka equations ⋮ Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero ⋮ On the semi-group of a scaled skew Bessel process ⋮ Sample path properties of stochastic integrals, and stochastic differentiation ⋮ Skew Ornstein-Uhlenbeck processes and their financial applications ⋮ Convergence rate of Euler scheme for time-inhomogeneous SDEs involving the local time of the unknown process

Cites Work

• Unnamed Item
• On skew Brownian motion
• Stochastic Integrals of Continuous Local Martingales, II

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