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Titel:

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

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Kallsen, J.
Nicht-TUM Koautoren:
nein
Kooperation:
-
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
Zeitschriftentitel:
Séminaire de Probabilités XXXIII, Lecture Notes in Mathematics, Berlin, Springer
Jahr:
1999
Band / Volume:
1709
Seitenangaben Beitrag:
315-326
Sprache:
en
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
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