Lecture Notes on the Yamada–watanabe Condition for the Pathwise Uniqueness of Solutions of Certain Stochastic Differential Equations

@inproceedings{ALTAY2010LectureNO,
  title={Lecture Notes on the Yamada–watanabe Condition for the Pathwise Uniqueness of Solutions of Certain Stochastic Differential Equations},
  author={S{\"U}HAN ALTAY},
  year={2010}
}
  • SÜHAN ALTAY
  • Published 2010
In these lecture notes we discuss the Yamada–Watanabe condition for the pathwise uniqueness of the solution of certain stochastic differential equations. This condition is weaker than the usual Lipschitz condition, the proof is based on Bihari’s inequality. An important application in mathematical finance is the Cox–Ingersoll–Ross model.