## Abstract

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 mathemat-

ical finance is the Cox–Ingersoll–Ross model.

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 mathemat-

ical finance is the Cox–Ingersoll–Ross model.

Original language | English |
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Publication status | Published - 2016 |