Stochastic differential equations driven by stable processes for which pathwise uniqueness fails

Richard F. Bass, Krzysztof Burdzy and Zhen-Qing Chen

Stochastic Processes and their Applications, 2004, vol. 111, issue 1, 1-15

Abstract: Let Zt be a one-dimensional symmetric stable process of order [alpha] with [alpha][set membership, variant](0,2) and consider the stochastic differential equationdXt=[phi](Xt-) dZt.For [beta]

Keywords: Stable; processes; Pathwise; uniqueness; Stochastic; differential; equations; Time; change; Crossing; estimates (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (3)

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