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Positivity of solution of nonhomogeneous stochastic differential equation with non-lipschitz diffusion
Yuliya Mishura, Svitlana Posashkova Department of Probability Theory and Mathematical Statistics,
Kyiv National Taras Shevchenko University, Kyiv, Ukraine
Аннотация:
We give a su?cient condition on coefficients of a nonhomogeneous
stochastic di?erential equation with non-Lipschitz di?usion for a solution starting from arbitrary nonrandom positive point to stay positive. Some examples of application of the condition mentioned above
are considered.
Ключевые слова:
Cox-Ingersoll-Ross model, stochastic differential equation,
positivity of solutions.
Образец цитирования:
Yuliya Mishura, Svitlana Posashkova, “Positivity of solution of nonhomogeneous stochastic differential equation with non-lipschitz diffusion”, Theory Stoch. Process., 14(30):3 (2008), 77–88
Образцы ссылок на эту страницу:
https://www.mathnet.ru/rus/thsp215 https://www.mathnet.ru/rus/thsp/v14/i3/p77
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