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On the one-sided Tanaka equation with drift
15 references·1 citing·40 second hop
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References

  • 1999Continuous Martingales and Brownian Motion6,253 cited
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  • 2006On the constructions of the skew Brownian motion183 cited
  • 1972On the pathwise uniqueness of solutions of one-dimensional stochastic differential equations124 cited
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  • 1985On solutions of one-dimensional stochastic differential equations without drift85 cited
  • 1985Mean stochastic comparison of diffusions59 cited
  • 2005On the behaviour of certain functionals of the wiener process and applications to stochastic differential equations41 cited
  • 1988Skew brownian motion and a one dimensional stochastic differential equation33 cited
  • 1962An Example of Non-Uniqueness of the Solution of the Stochastic Equation of K. Ito33 cited
  • 2012Planar diffusions with rank-based characteristics and perturbed Tanaka equations29 cited
  • 2013The solution of the perturbed Tanaka-equation is pathwise unique23 cited
  • 2007Pathwise uniqueness for a degenerate stochastic differential equation22 cited
  • 1989

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On the nonexistence of a strong solution in the boundary problem for a sticky Brownian motion
21 cited

Cited by

  • 2014One-Dimensional Stochastic Differential Equations with Generalized Drift16 cited