Uniqueness for a historical SDE with a singular interaction
type: Item
instance of: scholarly article
title: Uniqueness for a historical SDE with a singular interaction
zbMATH Open document ID: 0912.60071
DOI: 10.1023/A:1022644108434
author: Robert J. Adler
author: Roger Tribe
published in: Journal of Theoretical Probability
publication date: 1999-05-30T00:00:00Z
review text: It is proved the existence and pathwise uniqueness for a stochastic differential equation where the drift part has a discontinuity and evolves in a nonlinear manner. Approximating the singular drift by a bounded and globally Lipschitz continuous function and using Perkins theorem are the main tools for proving the issues. The paper is written in a clear manner, and proofs are given in detail. It is recommended for mathematicians specialized in stochastic differential equations.
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 1208797
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: singular drift
zbMATH Keywords: existence and uniqueness
reviewed by: Constantin Vârsan
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 1208797