SDEs with no strong solution arising from a problem of stochastic control

DOI10.1214/23-ejp995arXiv2205.02519OpenAlexW4385648252MaRDI QIDQ6137387

Benjamin A. Robinson, Alexander Matthew Gordon Cox

Publication date: 1 September 2023

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2205.02519

zbMATH Keywords

stochastic controlstochastic differential equationscircular Brownian motionBrownian filtrations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Optimal stochastic control (93E20) General theory of stochastic processes (60G07)

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