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ЖУРНАЛЫ // Theory of Stochastic Processes // Архив

Theory Stoch. Process., 2008, том 14(30), выпуск 3, страницы 77–88 (Mi thsp215)

Positivity of solution of nonhomogeneous stochastic differential equation with non-lipschitz diffusion

Yuliya Mishura, Svitlana Posashkova

Department of Probability Theory and Mathematical Statistics, Kyiv National Taras Shevchenko University, Kyiv, Ukraine

Аннотация: We give a su?cient condition on coefficients of a nonhomogeneous stochastic di?erential equation with non-Lipschitz di?usion for a solution starting from arbitrary nonrandom positive point to stay positive. Some examples of application of the condition mentioned above are considered.

Ключевые слова: Cox-Ingersoll-Ross model, stochastic differential equation, positivity of solutions.

MSC: 60H10

Язык публикации: английский



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