On Strong Solutions of Stochastic Differential Equations with Nonsmooth Coefficients

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Previous article Next article On Strong Solutions of Stochastic Differential Equations with Nonsmooth CoefficientsA. V. Mel’nikovA. V. Mel’nikovhttps://doi.org/10.1137/1124012PDFBibTexSections ToolsAdd to favoritesExport CitationTrack CitationsEmail SectionsAbout[1] A. K. Zvonkin, A transformation of the phase space of a diffusion process that will remove the drift, Mat. Sb. (N.S.), 93(135) (1974), 129–149, 152 MR0336813 Google Scholar[2] R. Sh. Lipster and , A. N. Shiryaev, Statistics of Random Processes, Springer, New York, 1977–78 Google Scholar[3] A. K. Zvonkin and , N. V. Krylov, Strong solutions of stochastic differential equations, Proceedings of the School and Seminar on the Theory of Random Processes (Druskininkai, 1974), Part II (Russian), Inst. Fiz. i Mat. Akad. Nauk Litovsk. SSR, Vilnius, 1975, 9–88 MR0426154 0481.60062 Google Scholar[4] I. I. Gikhman and , A. V. Skorokhod, Stochastic Differential Equations, Springer, New York, 1972 0242.60003 CrossrefGoogle Scholar[5] I. V. Girsanov, On transforming a certain class of stochastic processes by absolutely continuous substitution of measure, Theory Prob. Applications, 5 (1960), 285–301 10.1137/1105027 0100.34004 LinkGoogle Scholar Previous article Next article FiguresRelatedReferencesCited ByDetails Annals of Finance, Vol. 14, No. 2 | 2018 Cross Ref Existence of a Strong Solution of the Itô Stochastic Differential EquationTheory of Probability & Its Applications, Vol. 29, No. 1 | 17 July 2006AbstractPDF (245 KB) Volume 24, Issue 1| 1979Theory of Probability & Its Applications1-239 History Submitted:17 January 1977Published online:17 July 2006 InformationCopyright © 1979 Society for Industrial and Applied MathematicsPDF Download Article & Publication DataArticle DOI:10.1137/1124012Article page range:pp. 147-150ISSN (print):0040-585XISSN (online):1095-7219Publisher:Society for Industrial and Applied Mathematics