A note on one-dimensional stochastic equations

Hans-Jürgen Engelbert

Displaying similar documents to “A note on one-dimensional stochastic equations”

Perturbed Skorohod equations and perturbed reflected diffusion processes

R. A. Doney, T. Zhang (2005)

Annales de l'I.H.P. Probabilités et statistiques

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Continuity versus nonexistence for a class of linear stochastic Cauchy problems driven by a Brownian motion

Johanna Dettweiler, J.M.A.M. van Neerven (2006)

Czechoslovak Mathematical Journal

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Let $A = d / d θ$ denote the generator of the rotation group in the space $C (Γ)$ , where $Γ$ denotes the unit circle. We show that the stochastic Cauchy problem $d U (t) = A U (t) + f d b_{t}, U (0) = 0, (1)$ where $b$ is a standard Brownian motion and $f \in C (Γ)$ is fixed, has a weak solution if and only if the stochastic convolution process $t \mapsto {(f * b)}_{t}$ has a continuous modification, and that in this situation the weak solution has a continuous modification. In combination with a recent result of Brzeźniak, Peszat and Zabczyk it follows that (1) fails to have a weak solution...

Geometry of non-holonomic diffusion

Simon Hochgerner, Tudor S. Ratiu (2015)

Journal of the European Mathematical Society

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We study stochastically perturbed non-holonomic systems from a geometric point of view. In this setting, it turns out that the probabilistic properties of the perturbed system are intimately linked to the geometry of the constraint distribution. For $G$ -Chaplygin systems, this yields a stochastic criterion for the existence of a smooth preserved measure. As an application of our results we consider the motion planning problem for the noisy two-wheeled robot and the noisy snakeboard. ...

Some remarkable martingales

Daniel W. Stroock, Marc Yor (1981)

Séminaire de probabilités de Strasbourg

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Strong solutions for stochastic differential equations with jumps

Zenghu Li, Leonid Mytnik (2011)

Annales de l'I.H.P. Probabilités et statistiques

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General stochastic equations with jumps are studied. We provide criteria for the uniqueness and existence of strong solutions under non-Lipschitz conditions of Yamada–Watanabe type. The results are applied to stochastic equations driven by spectrally positive Lévy processes.