Singular Stochastic Differential Equations

147 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Stochastic ODEs and stochastic linear PDEs with critical drift: regularity, duality and uniqueness (2014, unknown): “The method is taken from [21].”
On the Euler-Maruyama approximation for one-dimensional stochastic differential equations with irregular coefficients (2015, background): “It worth noting that SDEs with discontinuous drift appear in many applications such as mathematical finance, optimal control and interacting infinite particle systems [1, 5, 9, 7, 20].”
Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients (2016, methodology): “For such SDEs, the existence and uniqueness of solution was studied in [19, 14, 4]; the weak convergence of EM approximation was shown in [25].”
Distribution of the time to explosion for one-dimensional diffusions (2013, background): “A thorough exposition and study of such equations appears in the monograph [9].”