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ЖУРНАЛЫ // Theory of Stochastic Processes // Архив

Theory Stoch. Process., 2011, том 17(33), выпуск 2, страницы 1–15 (Mi thsp48)

On the strong uniqueness of a solution to singular stochastic differential equations

Olga V. Aryasovaa, Andrey Yu. Pilipenkob

a Institute of Geophysics, National Academy of Sciences of Ukraine, Palladin pr. 32, 03680, Kiev-142, Ukraine
b Institute of Mathematics, National Academy of Sciences of Ukraine, Tereshchenkivska str. 3, 01601, Kiev, Ukraine

Аннотация: We prove the existence and uniqueness of a strong solution for an SDE on a semi-axis with singularities at the point $0$. The result obtained yields, for example, the strong uniqueness of non-negative solutions to SDEs governing Bessel processes.

Ключевые слова: Singular SDE, strong uniqueness, martingale problem, local time.

MSC: 60J65, 60H10

Язык публикации: английский



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