One-dimensional stochastic differential equations with generalized drift

DOI10.1137/S0040585X97986655MaRDI QIDQ2931875zbMATH OpenOpenAlexFDO

Authors Stefan Blei, H.-J. Engelbert

Publication date 28 November 2014

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97986655

zbMATH Keywords

absorptiongeneralized driftlocal timesnonexistence of solutionsreflectionstochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Local time and additive functionals (60J55) Diffusion processes (60J60) Brownian motion (60J65)

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(13)

• Finitary coding for the one-dimensional \(T,T^{-1}\) process with drift.
• Change of drift in one-dimensional diffusions
• One-dimensional Brownian particle systems with rank-dependent drifts
• One-dimensional stochastic differential equations with generalized and singular drift
• One dimensional stochastic differential equations with distributional drifts
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• Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions
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• Generating integrable one dimensional driftless diffusions

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