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ArticleOriginal scientific text

Title

On one-dimensional diffusion processes living in a bounded space interval

Authors 1

Affiliations

  1. Institute of Mathematics, Technical University of Cracow, Warszawska 24, 31-155 Kraków, Poland

Abstract

We prove that under some assumptions a one-dimensional Itô equation has a strong solution concentrated on a finite spatial interval, and the pathwise uniqueness holds.

Keywords

ENG
one-dimensional Itô equation, bounded strong solutions, time-dependent boundaries

Bibliography

  1. S. N. Ethier and T. G. Kurtz, Markov Processes. Characterization and Convergence, Wiley, New York 1986.
  2. I. I. Gikhman and A. V. Skorokhod, Stochastic Differential Equations, Springer, Berlin 1972.
  3. N. Ikeda and S. Watanabe, Stochastic Differential Equations and Diffusion Processes, North-Holland, Amsterdam 1981.
Annales Polonici Mathematici
1992/57/1
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Pages:
13-19
Main language of publication
English
Received
1990-02-20
Accepted
1990-05-08
Published
1992
Exact and natural sciences