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A new comparison theorem for solutions of stochastic differential equations |
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| Abstract: | Let Z 1(t) and Z 2(t) be solutions of two stochastic differential equations. Then Z 1(t)≦Z 2(t) for all t?0 a.s. provided certain relations involving the coefficients and intial conditions of the equations hold. the diffusion coefficients are not required toi be the same for both equtions |
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