Planar diffusions with rank-based characteristics and perturbed Tanaka equations (Q1955831)

By investigating the corrsponding stochastic differential equations, the diffusion process generated by \[ L := 1_{\{|x||>|y|\}}\Big(\frac{\rho^2}2\partial_x^2+\frac{\sigma^2} 2 \partial_y^2 -h\partial_x+g\partial_y\Big)+1_{\{|x|\leq |y|\}}\Big(\frac{\sigma^2}2\partial_x^2+\frac{\rho^2} 2 \partial_y^2 +g\partial_x-h\partial_y\Big) \] on \(\mathbb R^2\) is constructed, where \(g,h,\rho,\sigma\) are constants with \(\rho^2+\sigma^2=1\) and \(g+h>0.\)