Exact simulation for solutions of one-dimensional Stochastic Differential Equations with discontinuous drift

ESAIM Probability and Statistics ◽

10.1051/ps/2013053 ◽

2014 ◽

Vol 18 ◽

pp. 686-702 ◽

Cited By ~ 10

Author(s):

Pierre Étoré ◽

Miguel Martinez

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Exact Simulation ◽

One Dimensional ◽

Discontinuous Drift

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Stability Problem for One-Dimensional Stochastic Differential Equations with Discontinuous Drift

Lecture Notes in Mathematics - Séminaire de Probabilités XLVIII ◽

10.1007/978-3-319-44465-9_4 ◽

2016 ◽

pp. 97-121 ◽

Cited By ~ 1

Author(s):

Dai Taguchi

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Stability Problem ◽

One Dimensional ◽

Discontinuous Drift

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Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process

Monte Carlo Methods and Applications ◽

10.1515/mcma-2013-0002 ◽

2013 ◽

Vol 19 (1) ◽

Cited By ~ 13

Author(s):

Pierre Étoré ◽

Miguel Martinez

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Local Time ◽

Exact Simulation ◽

One Dimensional

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Strong comparison of solutions of one-dimensional stochastic differential equations

Stochastic Processes and their Applications ◽

10.1016/0304-4149(90)90092-7 ◽

1990 ◽

Vol 36 (2) ◽

pp. 217-230 ◽

Cited By ~ 3

Author(s):

Youssef Ouknine ◽

Marek Rutkowski

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

One Dimensional

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Stochastic Differential Equations with Discontinuous Drift

Probability and Its Applications - Stochastic Differential Equations in Infinite Dimensions ◽

10.1007/978-3-642-16194-0_5 ◽

2011 ◽

pp. 185-200

Author(s):

Leszek Gawarecki ◽

Vidyadhar Mandrekar

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Discontinuous Drift

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Feller’s One-Dimensional Diffusions as Unique Weak Solutions to Stochastic Differential Equations

Transactions of the Tenth Prague Conference ◽

10.1007/978-94-009-3859-5_35 ◽

1988 ◽

pp. 355-362

Author(s):

Jürgen Groh

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Weak Solutions ◽

One Dimensional

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$$L^{\alpha -1}$$ distance between two one-dimensional stochastic differential equations driven by a symmetric $$\alpha$$-stable process

Japan Journal of Industrial and Applied Mathematics ◽

10.1007/s13160-020-00429-9 ◽

2020 ◽

Vol 37 (3) ◽

pp. 929-956

Author(s):

Takuya Nakagawa

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Stable Process ◽

One Dimensional

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Feller's One-Dimensional Diffusions as Weak Solutions to Stochastic Differential Equations

Mathematische Nachrichten ◽

10.1002/mana.19851220116 ◽

1985 ◽

Vol 122 (1) ◽

pp. 157-165 ◽

Cited By ~ 1

Author(s):

Jürgen Groh

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Weak Solutions ◽

One Dimensional

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On one-dimensional stochastic differential equations with generalized drift

Lecture Notes in Control and Information Sciences - Stochastic Differential Systems Filtering and Control ◽

10.1007/bfb0005069 ◽

2005 ◽

pp. 143-155 ◽

Cited By ~ 13

Author(s):

H. J. Engelbert ◽

W. Schmidt

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

One Dimensional

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Some Properties of Density Functions on Maxima of Solutions to One-Dimensional Stochastic Differential Equations

Journal of Theoretical Probability ◽

10.1007/s10959-019-00885-1 ◽

2019 ◽

Vol 32 (4) ◽

pp. 1746-1779

Author(s):

Tomonori Nakatsu

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Density Functions ◽

One Dimensional

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Absolute continuity of the laws of one-dimensional reflected stochastic differential equations involving the maximum process

Journal of Mathematical Analysis and Applications ◽

10.1016/j.jmaa.2020.124692 ◽

2021 ◽

Vol 495 (1) ◽

pp. 124692

Author(s):

Hua Zhang

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Absolute Continuity ◽

One Dimensional ◽

Maximum Process

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