A Necessary Condition on Comparison Theorem for One-Dimensional Stochastic Differential Equation

被引：0

作者：

ZHAO Shoujiang

机构：

来源：

WuhanUniversityJournalofNaturalSciences | 2010年 / 15卷 / 01期

基金：

中国国家自然科学基金;

关键词：

comparison theorem; Ito formula; necessary condition;

D O I：

暂无

中图分类号：

O211.63 [随机微分方程];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider the comparison theorem of one-dimensional stochastic differential equation with non-Lipschitz diffusion coefficient. Considering the two one-dimensional stochastic differential equations as a two-dimensional equation,we present a necessary condition such that comparison theorem holds by viscosity solution approach.

引用

页码：13 / 15

页数：3

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