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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Displaying similar documents to “On variant reflected backward SDEs, with applications.”
A note on strong solutions of stochastic differential equations with a discontinuous drift coefficient.
Statistical causality and adapted distribution
Ljiljana Petrović, Sladjana Dimitrijević (2011)
Czechoslovak Mathematical Journal
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In the paper D. Hoover, J. Keisler: Adapted probability distributions, Trans. Amer. Math. Soc. 286 (1984), 159–201 the notion of adapted distribution of two stochastic processes was introduced, which in a way represents the notion of equivalence of those processes. This very important property is hard to prove directly, so we continue the work of Keisler and Hoover in finding sufficient conditions for two stochastic processes to have the same adapted distribution. For this purpose we...
Itô-Skorohod stochastic equations and applications to finance.
Tudor, Ciprian A. (2004)
Journal of Applied Mathematics and Stochastic Analysis
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On pathwise uniqueness and expansion of filtrations
Martin T. Barlow, Edwin A. Perkins (1990)
Séminaire de probabilités de Strasbourg
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A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility.
Alòs, Elisa, León, Jorge A., Pontier, Monique, Vives, Josep (2008)
Journal of Applied Mathematics and Stochastic Analysis
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Transience and non-explosion of certain stochastic Newtonian systems.
Kolokol'tsov, V.N., Schilling, R.L., Tyukov, A.E. (2002)
Electronic Journal of Probability [electronic only]
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Stochastic differential equations driven by symmetric stable processes
Richard F. Bass (2002)
Séminaire de probabilités de Strasbourg
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On some sample path properties of Skorohod integral processes
Martin T. Barlow, Peter Imkeller (1992)
Séminaire de probabilités de Strasbourg
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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.