On the Existence of Solutions of a Class of SDEs with Discontinuous Drift and Singular Diffusion

Gunther Leobacher; Michaela Szölgyenyi; Stefan Thonhauser

doi:10.1214/ECP.v20-3149

On the Existence of Solutions of a Class of SDEs with Discontinuous Drift and Singular Diffusion

Gunther Leobacher
, Michaela Szölgyenyi
, Stefan Thonhauser

Institute of Financial Mathematics and Applied Number Theory

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	1-14
Number of pages	14
Journal	Electronic Communications in Probability
Volume	20
Issue number	6
DOIs	https://doi.org/10.1214/ECP.v20-3149
Publication status	Published - 06 Jan 2015

Fields of science

101 Mathematics
101007 Financial mathematics
101019 Stochastics
101025 Number theory

JKU Focus areas

Computation in Informatics and Mathematics

Access to Document

10.1214/ECP.v20-3149

Cite this

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title = "On the Existence of Solutions of a Class of SDEs with Discontinuous Drift and Singular Diffusion",

author = "Gunther Leobacher and Michaela Sz{\"o}lgyenyi and Stefan Thonhauser",

year = "2015",

month = jan,

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doi = "10.1214/ECP.v20-3149",

language = "English",

volume = "20",

pages = "1--14",

journal = "Electronic Communications in Probability",

number = "6",

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TY - JOUR

T1 - On the Existence of Solutions of a Class of SDEs with Discontinuous Drift and Singular Diffusion

AU - Leobacher, Gunther

AU - Szölgyenyi, Michaela

AU - Thonhauser, Stefan

PY - 2015/1/6

Y1 - 2015/1/6

UR - https://www.scopus.com/pages/publications/84921445968

U2 - 10.1214/ECP.v20-3149

DO - 10.1214/ECP.v20-3149

M3 - Article

VL - 20

SP - 1

EP - 14

JO - Electronic Communications in Probability

JF - Electronic Communications in Probability

IS - 6

ER -

On the Existence of Solutions of a Class of SDEs with Discontinuous Drift and Singular Diffusion

Fields of science

JKU Focus areas

Access to Document

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Cite this