On one-dimensional diffusion processes living in a bounded space interval
Annales Polonici Mathematici (1992)
- Volume: 57, Issue: 1, page 13-19
- ISSN: 0066-2216
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topAnna Milian. "On one-dimensional diffusion processes living in a bounded space interval." Annales Polonici Mathematici 57.1 (1992): 13-19. <http://eudml.org/doc/262381>.
@article{AnnaMilian1992,
abstract = {We prove that under some assumptions a one-dimensional Itô equation has a strong solution concentrated on a finite spatial interval, and the pathwise uniqueness holds.},
author = {Anna Milian},
journal = {Annales Polonici Mathematici},
keywords = {one-dimensional Itô equation; bounded strong solutions; time-dependent boundaries; Itô equation; strong solution; pathwise uniqueness},
language = {eng},
number = {1},
pages = {13-19},
title = {On one-dimensional diffusion processes living in a bounded space interval},
url = {http://eudml.org/doc/262381},
volume = {57},
year = {1992},
}
TY - JOUR
AU - Anna Milian
TI - On one-dimensional diffusion processes living in a bounded space interval
JO - Annales Polonici Mathematici
PY - 1992
VL - 57
IS - 1
SP - 13
EP - 19
AB - We prove that under some assumptions a one-dimensional Itô equation has a strong solution concentrated on a finite spatial interval, and the pathwise uniqueness holds.
LA - eng
KW - one-dimensional Itô equation; bounded strong solutions; time-dependent boundaries; Itô equation; strong solution; pathwise uniqueness
UR - http://eudml.org/doc/262381
ER -
References
top- [1] S. N. Ethier and T. G. Kurtz, Markov Processes. Characterization and Convergence, Wiley, New York 1986. Zbl0592.60049
- [2] I. I. Gikhman and A. V. Skorokhod, Stochastic Differential Equations, Springer, Berlin 1972. Zbl0169.48702
- [3] N. Ikeda and S. Watanabe, Stochastic Differential Equations and Diffusion Processes, North-Holland, Amsterdam 1981. Zbl0495.60005
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