Existence and pathwise uniqueness of solutions for stochastic differential equations with respect to martingales in the plane

Zongxia Liang

Stochastic Processes and their Applications, 1999, vol. 83, issue 2, 303-317

Abstract: In this paper we establish some new theorems on pathwise uniqueness of solutions to the stochastic differential equations of the form of for with non-Lipschitz coefficients, where is a continuous square integrable martingale and is a continuous increasing process, Z is a continuous stochastic process on boundary of . We have proved existence theorem for the equation in Liang (1996a).

Keywords: Two-parameter; S.D.E.; Two-parameter; martingale; Ito's; formula; Pathwise; uniqueness; Gronwall-Bellman's; lemma (search for similar items in EconPapers)
Date: 1999
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