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On the strong comparison theorems for solutions of stochastic differential equations
6 references·11 citing·35 second hop
On the strong comparison theorems for solutions of stochastic differential equations (1981)On the strong comparison theorems for sol…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…On the decomposition of solutions of stochastic differential equations (1981)On the decomposition of solut…Liens entre équations différentielles stochastiques et ordinaires (1977)Liens entre équations différe…A comparison theorem for solutions of stochastic differential equations and its applications (1977)A comparison theorem for solu…On a comparison theorem for solutions of stochastic differential equations and its applications (1973)On a comparison theorem for s…On the uniqueness of solutions of stochastic differential equations (1971)On the uniqueness of solution…Local Lipschitz Continuity in the Initial Value and Strong Completeness for Nonlinear Stochastic Differential Equations (2024)Local Lipschitz Continuity in…New sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficients (2014)New sufficient conditions of …Stochastic flows and Bismut formulas for stochastic Hamiltonian systems (2010)Stochastic flows and Bismut f…Global flows for stochastic differential equations without global Lipschitz conditions (2007)Global flows for stochastic d…Flow of Homeomorphisms and Stochastic Transport Equations (2007)Flow of Homeomorphisms and St…Homeomorphic flows for multi-dimensional SDEs with non-Lipschitz coefficients (2004)Homeomorphic flows for multi-…Stochastic flows for SDEs with non-Lipschitz coefficients (2003)Stochastic flows for SDEs wit…On a type of stochastic differential equations driven by countably many Brownian motions (2003)On a type of stochastic diffe…STOCHASTIC DIFFERENTIAL EQUATIONS AND DIFFUSIONS (2000)STOCHASTIC DIFFERENTIAL EQUAT…INTRODUCTION TO ITÔ CALCULUS (2000)INTRODUCTION TO ITÔ CALCULUSFlows of homeomorphisms of stochastic differential equations with measurable drift (1999)Flows of homeomorphisms of st…Continuous Martingales and Brownian Motion (1999)A Concise Course on Stochastic Partial Differential Equations (2007)Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients (2012)Strong convergence rates and temporal regularity for Cox-Ingersoll-Ross processes and Bessel processes with accessible boundaries (2014)Rough differential equations with unbounded drift term (2016)Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks (2020)A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT (1974)Euler–Maruyama approximations for SDEs with non-Lipschitz coefficients and applications (2005)Stochastic differential equations with coefficients in Sobolev spaces (2010)Stochastic Flows and Stochastic Differential Equations (1998)Flow of diffeomorphisms for SDEs with unbounded Hölder continuous drift (2010)Degenerate SDE with Hölder--Dini Drift and Non-Lipschitz Noise Coefficient (2016)Stochastic calculus of variations and hypoelliptic operators (1978)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Some applications of stochastic calculus to partial differential equations (1983)Asymptotic expansion of stochastic flows (1993)Stochastic McKean-Vlasov equations (1995)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)A stochastic calculus model of continuous trading: Complete markets (1983)Stochastic differential equations with reflecting boundary conditions (1984)Applications du temps local aux equations differentielles stochastiques unidimensionnelles (1983)Comparison theorems for some backward stochastic Volterra integral equations (2014)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)Discretization and simulation of stochastic differential equations (1985)Stochastic Differential Equations (1992)Fast strong approximation Monte Carlo schemes for stochastic volatility models (2006)
this work references cited by second hop

References

  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1971On the uniqueness of solutions of stochastic differential equations848 cited
  • 1977A comparison theorem for solutions of stochastic differential equations and its applications304 cited
  • 1977Liens entre équations différentielles stochastiques et ordinaires225 cited
  • 1973On a comparison theorem for solutions of stochastic differential equations and its applications119 cited
  • 1981On the decomposition of solutions of stochastic differential equations104 cited

Cited by

  • 2010Stochastic flows and Bismut formulas for stochastic Hamiltonian systems62 cited
  • 2000STOCHASTIC DIFFERENTIAL EQUATIONS AND DIFFUSIONS57 cited
  • 2024Local Lipschitz Continuity in the Initial Value and Strong Completeness for Nonlinear Stochastic Differential Equations52 cited
  • 2004Homeomorphic flows for multi-dimensional SDEs with non-Lipschitz coefficients46 cited
  • 2003On a type of stochastic differential equations driven by countably many Brownian motions42 cited
  • 2007Global flows for stochastic differential equations without global Lipschitz conditions38 cited
  • 2014New sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficients35 cited
  • 2003Stochastic flows for SDEs with non-Lipschitz coefficients

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34 cited
  • 1999Flows of homeomorphisms of stochastic differential equations with measurable drift31 cited
  • 2007Flow of Homeomorphisms and Stochastic Transport Equations30 cited
  • 2000INTRODUCTION TO ITÔ CALCULUS27 cited