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10 items by relevance
1 Report

Continuity in a Pathwise sense with Respect to the Coefficients of Solutions of Stochastic Differential Equations

Knudsen, Thomas Skov

For SDE's of the form dX(t)=b(X(t))dt+sigma (X(t))dW(t)where b and sigma are Lipschitz continuous, it is shown that ifwe consider a fixed sigma in C^5, bounded and with boundedderivatives, the random field of solutions is pathwise locallyLipschitz continuous with respect to b when the space

Year: 1996

Language: English

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2 Printed book

Continuity in a pathwise sense with respect to the coefficients of solutions of stochastic differential equations

Skov Knudsen, T.; Technical University of Denmark; DTU

Year: 1996

Language: English

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fpenlkob imj gadch
3 Journal article

Continuity in a pathwise sense with respect to the coefficients of solutions of stochastic differential equations

Knudsen, Thomas Skov

Stochastic Processes and Their Applications — 1997, Volume 68, Issue 2, pp. 155-179

For stochastic differential equations (SDEs) of the form dX(t) = b(X)(t)) dt + sigma(X(t))dW(t) where b and sigma are Lipschitz continuous, it is shown that if we consider a fixed sigma is an element of C-5, bounded and with bounded derivatives, the random field of solutions is pathwise locally

Year: 1997

Language: English

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olgja pb dkncfhiem

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