Dynamical properties and characterization of gradient drift diffusions.
Darses, Sébastian, Nourdin, Ivan (2007)
Electronic Communications in Probability [electronic only]
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Displaying similar documents to “A note on strong solutions of stochastic differential equations with a discontinuous drift coefficient.”
Dynamical properties and characterization of gradient drift diffusions.
Absorption in stochastic epidemics
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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.
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Ma, Jin, Wang, Yusun (2009)
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Nonlinear filtering with an infinite dimensional signal process.
Boulanger, C., Schlitz, J. (1999)
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Toshio Yamada (1976)
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Tudor, Ciprian A. (2004)
Journal of Applied Mathematics and Stochastic Analysis
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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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Forward-backward stochastic differential equations and PDE with gradient dependent second order coefficients
Romain Abraham, Olivier Riviere (2006)
ESAIM: Probability and Statistics
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We consider a system of fully coupled forward-backward stochastic differential equations. First we generalize the results of Pardoux-Tang [7] concerning the regularity of the solutions with respect to initial conditions. Then, we prove that in some particular cases this system leads to a probabilistic representation of solutions of a second-order PDE whose second order coefficients depend on the gradient of the solution. We then give some examples in dimension 1 and dimension 2 for...
On the pathwise uniqueness of solutions of stochastic differential equations.
Sonoc, C. (1998)
Portugaliae Mathematica
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