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

• Autorzy: Anna Milian
• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

one-dimensional Itô equation; bounded strong solutions; time-dependent boundaries

Kategorie tematyczne

• 60H20: Stochastic integral equations

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Annales Polonici Mathematici
• Rocznik: 1992
• Tom: 57
• Numer: 1
• Strony: 13-19

Daty

wydano

1992

otrzymano

1990-02-20

poprawiono

1990-05-08

poprawiono

1991-03-18

poprawiono

1991-10-11

Twórcy

autor

Anna Milian

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

Bibliografia

• [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.