ON ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS INVOLVING THE MAXIMUM PROCESS

DOI10.1142/S0219493709002671zbMath1189.60115arXiv1003.5844OpenAlexW2964120875MaRDI QIDQ5320890

Rachid Belfadli, Said Hamadène, Youssef Ouknine

Publication date: 22 July 2009

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1003.5844

zbMATH Keywords

strong solutionlocal timeminimum processpathwise uniquenessmaximum processperturbed SDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Related Items (14)

Existence and pathwise uniqueness of solutions for stochastic differential equations involving the local time at point zero ⋮ Distribution of the integral of maximum processes and applications ⋮ Carathéodory approximate solutions for a class of stochastic differential equations involving the local time at point zero with one-sided Lipschitz continuous drift coefficients ⋮ Carathéodory approximate solutions for a class of perturbed reflected stochastic differential equations with irregular coefficients ⋮ Perturbations of singular fractional SDEs ⋮ The truncated Euler-Maruyama method of one-dimensional stochastic differential equations involving the local time at point zero ⋮ Existence and uniqueness of solutions for perturbed stochastic differential equations with reflected boundary ⋮ On the pathwise uniqueness of solutions of one-dimensional reflected stochastic differential equations with jumps ⋮ Rate of convergence of the perturbed diffusion process to its unperturbed limit ⋮ Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero ⋮ Minimizing the time to a decision ⋮ Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the maximum process ⋮ Carathéodory approximate solutions for a class of perturbed stochastic differential equations with reflecting boundary ⋮ Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax

Cites Work

• Unnamed Item
• Unnamed Item
• Stochastic differential equations with singular drift
• Pathwise uniqueness for perturbed versions of Brownian motion and reflected Brownian motion
• Some identities on local times and uniqueness of solutions of stochastic differential equations with reflection
• Perturbed Brownian motions
• Perturbed Skorohod equations and perturbed reflected diffusion processes
• Upper and lower limits of doubly perturbed Brownian motion
• BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
• Généralisation d'un lemme de s. nakao et applications
• Beta Variables as Times Spent in [0, ∞[ By Certain Perturbed Brownian Motions
• Local times of functions of continuous semimartingales

This page was built for publication: ON ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS INVOLVING THE MAXIMUM PROCESS