Time inhomogeneous stochastic differential equations involving the local time of the unknown process, and associated parabolic operators

DOI10.1016/j.spa.2017.09.018zbMath1396.60066arXiv1608.07149OpenAlexW2963923503MaRDI QIDQ1639671

Pierre Étoré, Miguel Martinez

Publication date: 13 June 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.07149

zbMATH Keywords

time inhomogeneous Markov processesdivergence form operatorsFeynman-Kac representation formulastochastic differential equations with local timetime inhomogeneous skew Brownian motion

Mathematics Subject Classification ID

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

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