A Necessary condition on comparison theorem for one-dimensional stochastic differential equation
Tóm tắt
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.
Tài liệu tham khảo
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