Strong comparison of solutions of one-dimensional stochastic differential equations
β Scribed by Youssef Ouknine; Marek Rutkowski
- Publisher
- Elsevier Science
- Year
- 1990
- Tongue
- English
- Weight
- 834 KB
- Volume
- 36
- Category
- Article
- ISSN
- 0304-4149
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
The main purpose of the present paper is to investigate the connection between strong MARKOV continuous local martingales and solutions of one-dimensional stochastic differential equations driven by a WIENER process. Thus this paper contributes to the general problem to clarify the structure of MAB
ihstruct. A continuous strong MARKOV process X on the line generated by FELLER'S generalized second order differential operator D,D; is considered. Supposed that the cnnonicnl scale p is locally the difference of two bounded convex functions, that the speed meustire rn contains R strictly positive a
Let R be a compact region (Le., the closure of an open connected set) in R" which is of class C2. Let n i = l A = Zn,D, + a, be a first order partial differential expression on R, where D, = a/&,, ui is an m x m matrix of C2 functions, i = 1, \* \* \* , n, and a,, is an m x m matrix of C1 functions.