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XII: 13, 114-131, LNM 649 (1978)
YAMADA, Toshio
Sur une construction des solutions d'équations différentielles stochastiques dans le cas non-lipschitzien (Stochastic calculus)
The results of this paper improve on those of the author's paper (Zeit. für W-theorie, 36, 1976) concerning a one-dimensional stochastic differential equations of the classical Ito type, whose coefficients satisfy a Hölder-like condition instead of the standard Lipschitz condition. The proofs are simplified, and strong convergence of the Cauchy method is shown
Comment: Such equations play an important role in the theory of Bessel processes (see chapter XI of Revuz-Yor, Continuous Martingales and Brownian Motion, Springer 1999
Keywords: Stochastic differential equations, Hölder conditions
Nature: Original
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