A stochastic differential equation with a unique (up to indistinguishability) but not strong solution

Jan Kallsen

Séminaire de probabilités de Strasbourg (1999)

  • Volume: 33, page 315-326

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Kallsen, Jan. "A stochastic differential equation with a unique (up to indistinguishability) but not strong solution." Séminaire de probabilités de Strasbourg 33 (1999): 315-326. <http://eudml.org/doc/114016>.

@article{Kallsen1999,
author = {Kallsen, Jan},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {weak solution; strong solution; uniqueness},
language = {eng},
pages = {315-326},
publisher = {Springer - Lecture Notes in Mathematics},
title = {A stochastic differential equation with a unique (up to indistinguishability) but not strong solution},
url = {http://eudml.org/doc/114016},
volume = {33},
year = {1999},
}

TY - JOUR
AU - Kallsen, Jan
TI - A stochastic differential equation with a unique (up to indistinguishability) but not strong solution
JO - Séminaire de probabilités de Strasbourg
PY - 1999
PB - Springer - Lecture Notes in Mathematics
VL - 33
SP - 315
EP - 326
LA - eng
KW - weak solution; strong solution; uniqueness
UR - http://eudml.org/doc/114016
ER -

References

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  1. Bauer, H., (1991). Wahrscheinlichkeitstheorie, 4th edn. De Gruyter, Berlin. Zbl0714.60001MR1150240
  2. Jacod, J., (1979). Calcul Stochastique et Problèmes de Martingales, Lecture Notes in Mathematics, vol. 714. Springer, Berlin. Zbl0414.60053MR542115
  3. Karatzas, I. and Shreve, S., (1991). Brownian Motion and Stochatic Calculus, 2nd edn.Springer, New York. Zbl0734.60060MR1121940
  4. Lasota, A. and Mackey, M., (1985). Probabilistic Properties of Deterministic Systems. Cambridge University Press, Cambridge. Zbl0606.58002MR832868
  5. Protter, P., (1992). Stochastic Integration and Differential Equations, 2nd edn. Springer, Berlin. 
  6. Revuz, D. and Yor, M., (1994). Continuous Martingales and Brownian Motion, 2nd edn. Springer, Berlin. Zbl0804.60001MR1303781
  7. Tsirel'son, B., (1975). An Example of a Stochastic Differential Equation Having No Strong Solution. Theory of Probability and Applications20, 416-418. Zbl0353.60061MR375461

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