| SOME PROPERTIES OF SOLUTIONS OF ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS WITH GENERAL COEFFICIENTS |
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| 摘 要： | In this paper, the one-dimensional time-homogenuous lto's stochastic differential equations, which have degenerate and discontinuous diffusion coefficients, are considered. The non-confluent property of solutions is showed under some local integrability condition on the diffusion and drift coefficients. The strong comparison theorem for solutions is also established.
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SOME PROPERTIES OF SOLUTIONS OF ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS WITH GENERAL COEFFICIENTS |
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| Ding Xiaodong. SOME PROPERTIES OF SOLUTIONS OF ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS WITH GENERAL COEFFICIENTS[J]. Journal of Donghua University, 1995, 0(1) |
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| Authors: | Ding Xiaodong |
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| Affiliation: | Basic Sciences Department |
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| Abstract: | In this paper, the one-dimensional time-homogcnuous Ito's stochastic differential equations, which have degenerate and discontinuous diffusion coefficients, are considered. The non-confluent property of solutions is showed under some local integrability condition on the diffusion and drift coefficients. The strong comparison theorem for solutions is also established. |
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| Keywords: | stochastic differential equation strong comparison theorem non-confluent generalized Ito's rule. |
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