User: Guest  Login
Title:

A Stochastic Differential Equation with a Unique (up to Indistinguishability) but not Strong Solution

Document type:
Zeitschriftenaufsatz
Author(s):
Kallsen, J.
Non-TUM Co-author(s):
nein
Cooperation:
-
Abstract:
Fix a filtered probability space and a Brownian motion Bon that space and consider any solution process to a stochastic differential equation SDE (1). A well-known theorem states that pathwise uniqueness implies that the solutionto SDE (1) is strong, i.e., it is adapted to the P-completed filtration generated by B. Pathwise uniqueness means that, on any filtered probability space carrying a Brownian motion and for any initial value, SDE (1) has at most one (weak) solution. We present an example...     »
Intellectual Contribution:
Discipline-based Research
Journal title:
Séminaire de Probabilités XXXIII, Lecture Notes in Mathematics, Berlin, Springer
Year:
1999
Journal volume:
1709
Pages contribution:
315-326
Language:
en
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
 BibTeX
versions