On the existence of solutions of stochastic differential equations with singular drifts (Q1071381)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the existence of solutions of stochastic differential equations with singular drifts |
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On the existence of solutions of stochastic differential equations with singular drifts (English)
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1987
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In this paper we prove existence of solutions for a stochastic differential equation in \(R^ d\), when the drift and the diffusion term are allowed to depend in a specific way on the local time of the d-th coordinate of the process to be constructed. The methods of our construction are of purely probabilistic nature.
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existence of solutions
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local time
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infinitesimal generator
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