Strong comparison of solutions of one-dimensional stochastic differential equations

Youssef Ouknine and Marek Rutkowski

Stochastic Processes and their Applications, 1990, vol. 36, issue 2, 217-230

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.

Date: 1990
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