Related papers: The unique solution of stochastic differential equ…
SDE's must be solved in the "anti-Ito" sense when their coefficients are independent. While the "noise-induced drift" matters for the sample paths, it is absent in the Fokker-Planck equation, which takes a particularly simple form and is…
We prove the existence and uniqueness of strong solutions for stochastic differential equations in which the drift coefficient is square integrable in time variable and H\"{o}lder continuous in space variable. Moreover, we prove that the…
It is shown that under a certain condition on a semimartingale and a time-change, any stochastic integral driven by the time-changed semimartingale is a time-changed stochastic integral driven by the original semimartingale. As a direct…
Covariance of the resulting probabilities requires the "anti-Ito" sense. The corresponding Fokker-Planck equation is simplified and preserves important features of the case with a constant diffusion. Multiplicative noise can always be…
We present a condition for a stochastic differential equation dX_{t}={\mu}(t,X_{t})dt+{\sigma}(t,X_{t})dB_{t} to have a unique functional solution of the form Z(t,B_{t}). The condition expresses a relation between {\mu} and {\sigma}. A…
Existence and uniqueness results of fully coupled forward stochastic differential equations without drifts and backward stochastic differential equations in a degenerate case are obtained for an arbitrarily large time duration.
Only the "anti-Ito" integral yields the correct shift of the mean, by the fact that the elements of its Riemannian sum hold in the order O(dt) rather than only in O(sqrt dt). The corresponding "full" Fokker-Planck equation is particularly…
We explore Ito stochastic differential equations where the drift term possibly depends on the infinite past. Assuming the existence of a Lyapunov function, we prove the existence of a stationary solution assuming only minimal continuity of…
A stochastic differential equation with infinite memory is considered. The drift coefficient of the equation is a nonlinear functional of the past history of the solution. Sufficient conditions for existence and uniqueness of stationary…
We present a detailed analysis of non-degenerate time-homogeneous It\^o-stochastic differential equations with low local regularity assumptions on the coefficients. In particular the drift coefficient may only satisfy a local integrability…
In this paper, we prove that there exists a unique strong solution to reflecting stochastic differential equations with merely measurable drift giving an affirmative answer to the longstanding problem. This is done through Zvonkin…
We prove the existence of strong solutions of It\^o's stochastic time dependent equations with irregular diffusion and drift terms of Morrey spaces. Strong uniqueness is also discussed.
The rates of strong convergence for various approximation schemes are investigated for a class of stochastic differential equations (SDEs) which involve a random time change given by an inverse subordinator. SDEs to be considered are unique…
In this paper, we introduce a new method for study on backward stochastic differential equations with stopping time as time horizon. And using this, we show that some results on backward stochastic differential equations with constant time…
This paper investigates a time-dependent multidimensional stochastic differential equation with drift being a distribution in a suitable class of Sobolev spaces with negative derivation order. This is done through a careful analysis of the…
We prove the existence of weak solutions of It\^o's stochastic time dependent equations with irregular diffusion and drift terms of Morrey spaces. Weak uniqueness (generally conditional) and a conjecture pertaining to strong solutions are…
We prove strong existence and uniqueness of solutions of It\^o's stochastic time dependent equations with irregular diffusion and drift terms of Morrey class type. In a sense we are treating a "supercritical" case.
A free choice of the integration sense would lead to the paradox that the number of possible equations (thus of solutions for a given model) can vary under a mere change of the variables. This is shown by a specific change which neutralizes…
The technique of stochastic solutions, previously used for deterministic equations, is here proposed as a solution method for partial differential equations driven by distribution-valued noises.
We prove strong existense of solutions of It\^o's stochastic time dependent equations with irregular diffusion and drift terms of Morrey class type.