Timeline for Solving SDE's on subsets of $R^n$.
Current License: CC BY-SA 3.0
3 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Mar 16, 2012 at 17:26 | vote | accept | ShawnD | ||
| Mar 16, 2012 at 17:26 | comment | added | ShawnD | This is helpful and seems to be the general method people use. A confusing point (for me) was why if you have two different Lipschitz extensions, the solutions agree up until the first exit time of $D$. I believe this can be done in the time homogeneous case (using somewhere the strong Markov property for Brownian motion if I'm not over complicating things) and a time inhomogeneous SDE can be transformed into a time homogeneous one by adding a "time coordinate." | |
| Mar 14, 2012 at 19:25 | history | answered | Stephan Sturm | CC BY-SA 3.0 |