Strong comparison of solutions of one-dimensional stochastic differential equations

The problem of non-confluence and strong comparison of solutions of one-dimensional Itô stochastic differential equations is studied. Sufficient conditions which guarantee these properties in the case of non-degenerate diffusion coefficient are given. In the case of possibly degenerate diffusion coefficient the notion of almost strong comparison is introduced and studied. In both cases discontinuous drift coefficients are allowed.

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Year of publication:	1990
Authors:	Ouknine, Youssef ; Rutkowski, Marek
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 36.1990, 2, p. 217-230
Publisher:	Elsevier

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

Persistent link: https://www.econbiz.de/10008873989