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Strong comparison of solutions of one-dimensional stochastic differential equations

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  • Ouknine, Youssef
  • Rutkowski, Marek

Abstract

The problem of non-confluence and strong comparison of solutions of one-dimensional Itô stochastic differential equations is studied. Sufficient conditions which guarantee these properties in the case of non-degenerate diffusion coefficient are given. In the case of possibly degenerate diffusion coefficient the notion of almost strong comparison is introduced and studied. In both cases discontinuous drift coefficients are allowed.

Suggested Citation

  • Ouknine, Youssef & Rutkowski, Marek, 1990. "Strong comparison of solutions of one-dimensional stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 36(2), pages 217-230, December.
    • Handle: RePEc:eee:spapps:v:36:y:1990:i:2:p:217-230
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    Cited by:

    1. Youssef, S.B., 1995. "Phase transitions and electrical conductivity of TlInS2," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 215(1), pages 176-180.

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