STOCHASTIC DIFFERENTIAL-EQUATIONS WITH SINGULAR DRIFT

被引：5
|
作者：
RUTKOWSKI, M
机构：
[1] Institute of Mathematics, Technical University of Warsaw
来源：
STATISTICS & PROBABILITY LETTERS | 1990年 / 10卷 / 03期
关键词：
local times; pathwise uniqueness; Stochastic differential equations;
D O I：
10.1016/0167-7152(90)90078-L
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We study the pathwise uniqueness of solutions of one-dimensional stochastic differential equations involving local times, under the assumption that the diffusion coefficient satisfies the (LT) condition introduced by Barlow and Perkins (1984). We show that this condition is sufficient for the pathwise uniqueness in the case of SDE's involving local times studied until now. In the final section a more general class of equations is introduced. © 1990.
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页码：225 / 229
页数：5
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