连续半鞅随机微分方程解的性质

THE PROPERTIES OF SOLUTIONS OF STOCHASTIC DIFFERENTIAL EQUATIONS WITH RESPECT TO CONTINUOUS SEMIMARTINGALES

  • 摘要: 本文在扩散系数可退化可间断的情况下,讨论了一维连续半鞅型随机微分方程解的非合流性质和强比较定理。

     

    Abstract: In this paper we study the non-confluent property of solutions for the one-dimensional stochastic differential equations with respect to continuous semimartingales, which have discontinuous and degenerated coefficients. The sarong eomparison theorem for solutions is also obtained.

     

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