On stochastic differential equations with locally unbounded drift
István Gyöngy; Teresa Martínez
Czechoslovak Mathematical Journal (2001)
- Volume: 51, Issue: 4, page 763-783
- ISSN: 0011-4642
Access Full Article
topAbstract
topHow to cite
topGyöngy, István, and Martínez, Teresa. "On stochastic differential equations with locally unbounded drift." Czechoslovak Mathematical Journal 51.4 (2001): 763-783. <http://eudml.org/doc/30670>.
@article{Gyöngy2001,
abstract = {We study the regularizing effect of the noise on differential equations with irregular coefficients. We present existence and uniqueness theorems for stochastic differential equations with locally unbounded drift.},
author = {Gyöngy, István, Martínez, Teresa},
journal = {Czechoslovak Mathematical Journal},
keywords = {stochastic differential equations; Krylov’s estimate; stochastic differential equations; Krylov's estimate},
language = {eng},
number = {4},
pages = {763-783},
publisher = {Institute of Mathematics, Academy of Sciences of the Czech Republic},
title = {On stochastic differential equations with locally unbounded drift},
url = {http://eudml.org/doc/30670},
volume = {51},
year = {2001},
}
TY - JOUR
AU - Gyöngy, István
AU - Martínez, Teresa
TI - On stochastic differential equations with locally unbounded drift
JO - Czechoslovak Mathematical Journal
PY - 2001
PB - Institute of Mathematics, Academy of Sciences of the Czech Republic
VL - 51
IS - 4
SP - 763
EP - 783
AB - We study the regularizing effect of the noise on differential equations with irregular coefficients. We present existence and uniqueness theorems for stochastic differential equations with locally unbounded drift.
LA - eng
KW - stochastic differential equations; Krylov’s estimate; stochastic differential equations; Krylov's estimate
UR - http://eudml.org/doc/30670
ER -
References
top- Diffusions with singular drift related to wave functions, Probab. Theory Related Fields 96 (1996), 107–121. (1996) MR1222367
- Uniqueness of solutions of stochastic differential equations, 2001, preprint. Zbl1139.60028MR2377011
- 10.1002/mana.19841190108, Math. Nachr. 119 (1984), 97–115. (1984) MR0774179DOI10.1002/mana.19841190108
- On one-dimensional stochastic differential equations with generalized drift. Stochastic Differential Systems (Marseille-Luminy, 1984), Lecture Notes in Control and Information Sci. Vol. 69, Springer, Berlin-New York, 1985, pp. 143–155. (1985) MR0798317
- On stochastic differential equations with irregular coefficients, Technical Report Series of the Laboratory for Research in Statistics and Probability 91 (1986). (1986)
- 10.1080/17442509208833782, Stochastics Stochastics Rep. 40 (1992), 77–115. (1992) MR1275128DOI10.1080/17442509208833782
- Existence of strong solutions for Itô’s stochastic equations via approximations, Probab. Theory Related Fields 105 (1996), 143–158. (1996) MR1392450
- A note on approximation for stochastic differential equations. Séminaire de Probabilités XXII, Lecture Notes in Mathematics Vol. 1321, Springer, Berlin-New York, 1988, pp. 155–162. (1988) MR0960522
- On some estimates of the distribution of stochastic integrals, Izv. Akad. Nauk SSSR Ser. Math. 38 (1974), 228–248. (Russian) (1974) MR0345206
- Estimates of the maximum of the solution of a parabolic equation and estimates of the distribution of a semimartingale, Mat. Sb. (N.S.) 130 (172) (1986), 207–221. (Russian) (1986) MR0854972
- Controlled Diffusion Processes, Nauka, Moscow, 1977, English transl.: Springer-Verlag, New York-Berlin, 1980. (1977) MR0601776
- Linear and Quasilinear Equations of Parabolic Type, Nauka, Moscow, 1967, English transl.: American Mathematical Society, Providence, R.I., 1968. (1967)
- Statistics of Random Processes I, Nauka, Moscow, 1974, English transl.: Springer-Verlag, New York-Heidelberg, 1977. (1974)
- Quelques résultats de “mécanique stochastique”, Séminaire de Probabilités XVIII. Lecture Notes in Mathematics Vol. 1059, Springer, Berlin-New York, 1984, pp. 223–244. (1984) MR0770964
- Sur la construction des certaines diffusions, Séminaire de Probabilités XX. Lecture Notes in Mathematics Vol. 1204, Springer, Berlin-New York, 1986, pp. 334–337. (1986) MR0942027
- 10.1007/BF00340014, Probab. Theory Related Fields 82 (1989), 109-136. (1989) MR0997433DOI10.1007/BF00340014
- 10.1007/BF00532640, Z. Wahrsch. Verw. Gebiete 68 (1985), 247–269. (1985) MR0771466DOI10.1007/BF00532640
- Generalized Diffusion Processes, Naukova Dumka, Kiev, 1982, English transl.: American Mathematical Society, Providence, R.I., 1990. (1982) Zbl0727.60089MR1104660
- Studies in the Theory of Random Processes, Izdat. Kiev. Univ., Kiev, 1961, English transl.: Addison Wesley Publ. Co., Reading, Mass., 1965. (1961) MR0185620
- Multidimensional Diffusion Processes, Springer-Verlag, Berlin, 1979. (1979) MR0532498
- 10.1007/BF01192962, Probab. Theory Related Fields 97 (1993), 515–542. (1993) Zbl0794.60055MR1246978DOI10.1007/BF01192962
- On the strong solutions of stochastic differential equations, Theory Probab. Appl. 24 (1979), 354–366. (1979) Zbl0418.60061MR0532447
- Parabolic equations and stochastic Itô differential equations with discontinuous coefficients in time, Mat. Zametki 31 (1982), 549–557. (Russian) (1982) MR0657716
- A transformation of the phase space of a diffusion process that will remove the drift, Mat. Sb. (N.S.) 93 (135) (1974), 129–149. (Russian) (1974) MR0336813
Citations in EuDML Documents
topNotesEmbed ?
topTo embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.