Existence and pathwise uniqueness of solutions for stochastic differential equations with respect to martingales in the plane

In this paper we establish some new theorems on pathwise uniqueness of solutions to the stochastic differential equations of the form of for with non-Lipschitz coefficients, where is a continuous square integrable martingale and is a continuous increasing process, Z is a continuous stochastic process on boundary of . We have proved existence theorem for the equation in Liang (1996a).

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Year of publication:	1999
Authors:	Liang, Zongxia
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 83.1999, 2, p. 303-317
Publisher:	Elsevier
Keywords:	Two-parameter S.D.E. Two-parameter martingale Ito's formula Pathwise uniqueness Gronwall-Bellman's lemma

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874922