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New sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficients
11 references·0 citing·31 second hop
New sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficients (2014)New sufficient conditions of existence, m…On Weak Solutions of Stochastic Differential Equations (2011)On Weak Solutions of Stochast…A Concise Course on Stochastic Partial Differential Equations (2007)A Concise Course on Stochasti…A study of a class of stochastic differential equations with non-Lipschitzian coefficients (2005)A study of a class of stochas…Strong solutions of stochastic equations with singular time dependent drift (2004)Strong solutions of stochasti…STOCHASTIC DIFFERENTIAL EQUATIONS AND DIFFUSIONS (2000)STOCHASTIC DIFFERENTIAL EQUAT…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…On the strong comparison theorems for solutions of stochastic differential equations (1981)On the strong comparison theo…MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)MULTI-DIMENSIONAL DIFFUSION P…A comparison theorem for solutions of stochastic differential equations and its applications (1977)A comparison theorem for solu…On the uniqueness of solutions of stochastic differential equations (1971)On the uniqueness of solution…On the uniqueness of solutions of stochastic differential equations II (1971)On the uniqueness of solution…Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Stochastic flows and Bismut formulas for stochastic Hamiltonian systems (2010)Degenerate SDE with Hölder--Dini Drift and Non-Lipschitz Noise Coefficient (2016)Stochastic Differential Equations and Applications (1976)Controlled Diffusion Processes (1980)Point Processes and Queues (1981)Invariant Sets for Controlled Degenerate Diffusions: A Viscosity Solutions Approach (1999)On the Onsager-Machlup functional for elliptic diffusion processes (2000)Stochastic differential equations with jumps (2004)Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity (2010)On the existence and uniqueness of solutions to stochastic differential equations driven by G-Brownian motion with integral-Lipschitz coefficients (2014)A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT (1974)A stochastic calculus model of continuous trading: Complete markets (1983)Stochastic differential equations with reflecting boundary conditions (1984)Stochastic Differential Equations (1999)Necessary and sufficient condition for comparison theorem of 1-dimensional stochastic differential equations (2005)ANTICIPATED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS 1 (2012)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)Existence and uniqueness of martingale solutions for SDEs with rough or degenerate coefficients (2007)Stochastic Homeomorphism Flows of SDEs with Singular Drifts and Sobolev Diffusion Coefficients (2011)Averaging along irregular curves and regularisation of ODEs (2016)Local Lipschitz Continuity in the Initial Value and Strong Completeness for Nonlinear Stochastic Differential Equations (2024)ARCH models as diffusion approximations (1990)Chapter 49 Arch models (1994)5 Stochastic volatility (1996)Stochastic integrals for spde’s: A comparison (2010)Sparse tensor discretizations of high-dimensional parametric and stochastic PDEs (2011)Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients (2014)
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References

  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES1,243 cited
  • 1971On the uniqueness of solutions of stochastic differential equations848 cited
  • 2007A Concise Course on Stochastic Partial Differential Equations803 cited
  • 2004Strong solutions of stochastic equations with singular time dependent drift420 cited
  • 1977A comparison theorem for solutions of stochastic differential equations and its applications304 cited
  • 2005A study of a class of stochastic differential equations with non-Lipschitzian coefficients137 cited
  • 1971On the uniqueness of solutions of stochastic differential equations II119 cited
  • 1981On the strong comparison theorems for solutions of stochastic differential equations64 cited
  • 2000STOCHASTIC DIFFERENTIAL EQUATIONS AND DIFFUSIONS57 cited
  • 2011On Weak Solutions of Stochastic Differential Equations56 cited

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