Unicité Trajectorielle des Équations Différentielles Stochastiques Avec Temps Local

• Autorzy: Ouknine Y.
• Języki publikacji: EN

Abstrakty

EN

We study the pathwise uniqueness of a one-dimensional stochastic differential equation driven by white noise and involving local time of the unknown process. We introduce a very weak condition on the diffusion term which is sufficient for the pathwise uniqueness if one considers an equation of the form [formula] where v stands for a signed Radon measure on R.

Słowa kluczowe

EN

stochastic differential equation; stochastic partial differential equation; one-dimensional stochastic differential equations

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 1999
• Tom: Vol. 19, Fasc. 1
• Strony: 55--62
• Opis fizyczny: Bibliogr. 9 poz.

Twórcy

autor

Ouknine Y.

• Département de Mathématiques, Faculté des Sciences Semlalia, B.P. S15, Marrakech 40000, Maroc

Bibliografia

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• [6] - and M. Rutkowski, Strong comparison of solutions of one-dimensional stochastic differential equations, ibidem 36 (1990), pp. 217-230.
• [7] M. Rutkowski, Stochastic differential equations with singular drift, Statist. Probab. Lett. 10 (1990), pp. 225-229.
• [8] D. W. Stroock and M. Yor, Some remarkable martingales, Lecture Notes in Math. 850, Springer, Berlin 1981, pp. 590-603.
• [9] J. B. Walsh, An introduction to stochastic partial differential equations, Ecolē d'Eté de Probabilités de Saint-Flour, XIV (1984), Springer.