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One-dimensional stochastic differential equations with generalized and singular drift · Study

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ArticleOne-dimensional stochastic differential equations with generalized and singular drift

Stefan Blei2013

OA

Articlebronze2013

One-dimensional stochastic differential equations with generalized and singular drift

Stefan Blei · H. J. Engelbert

25 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Stochastic processes and statistical mechanics

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References

1999Continuous Martingales and Brownian Motion 1991Brownian motion and stochastic calculus 1974A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT 1984One — dimensional stochastic differential equations involving the local times of the unknown process 1989Strong Markov Continuous Local Martingales and Solutions of One‐Dimensional Stochastic Differential Equations (Part I)2005On one-dimensional stochastic differential equations with generalized drift 1991Strong Markov Continuous Local Martingales and Solutions of One‐Dimensional Stochastic Differential Equations (Part III)1983Applications du temps local aux equations differentielles stochastiques unidimensionnelles

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2017Time inhomogeneous Stochastic Differential Equations involving the local time of the unknown process, and associated parabolic operators

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Year2013

Typearticle

Published2013-07-04

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations25

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2013.06.014

openalex_workW2073676861

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