Itô-Skorohod stochastic equations and applications to finance.
Tudor, Ciprian A. (2004)
Journal of Applied Mathematics and Stochastic Analysis
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Displaying similar documents to “On the uniqueness of solutions of stochastic differential equations with reflecting barrier conditions”
Itô-Skorohod stochastic equations and applications to finance.
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Sonoc, C. (1998)
Portugaliae Mathematica
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A note on strong solutions of stochastic differential equations with a discontinuous drift coefficient.
Halidias, Nikolaos, Kloeden, P.E. (2006)
Journal of Applied Mathematics and Stochastic Analysis
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On stochastic differential equations with locally unbounded drift
István Gyöngy, Teresa Martínez (2001)
Czechoslovak Mathematical Journal
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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.
On variant reflected backward SDEs, with applications.
Ma, Jin, Wang, Yusun (2009)
Journal of Applied Mathematics and Stochastic Analysis
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Pathwise uniqueness and approximation of solutions of stochastic differential equations
Khaled Bahlali, Brahim Mezerdi, Youssef Ouknine (1998)
Séminaire de probabilités de Strasbourg
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Introduction to the Theory of the It-type Stochastic Integrals and Stochastic Differential Equations
Svetlana Janković (1998)
Zbornik Radova
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Absorption in stochastic epidemics
Josef Štěpán, Jakub Staněk (2009)
Kybernetika
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A two dimensional stochastic differential equation is suggested as a stochastic model for the Kermack–McKendrick epidemics. Its strong (weak) existence and uniqueness and absorption properties are investigated. The examples presented in Section 5 are meant to illustrate possible different asymptotics of a solution to the equation.