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Strong Markov Continuous Local Martingales and Solutions of One‐Dimensional Stochastic Differential Equations (Part III)
Author(s) -
Engelbert H. J.,
Schmidt W.
Publication year - 1991
Publication title -
mathematische nachrichten
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.913
H-Index - 50
eISSN - 1522-2616
pISSN - 0025-584X
DOI - 10.1002/mana.19911510111
Subject(s) - mathematics , stochastic differential equation , uniqueness , stochastic partial differential equation , markov process , wiener process , markov chain , connection (principal bundle) , section (typography) , martingale (probability theory) , local martingale , mathematical analysis , differential equation , computer science , statistics , geometry , operating system
This last part of the present paper is devoted to one‐dimensional stochastic differential equations driven by a WIENER process. In Section 4, we give a survey on existence, uniqueness, and various other aspects of solutions. In Section 5, which was the starting point of the present paper, we describe the connection between strong MARKOV continuous local martingales and solutions of one‐dimensional stochastic differential equations without drift.