One-dimensional stochastic differential equations with generalized and singular drift

DOI10.1016/j.spa.2013.06.014zbMath1295.60071arXiv1209.6159OpenAlexW2073676861MaRDI QIDQ2447741

Stefan Blei, Hans-Jürgen Engelbert

Publication date: 28 April 2014

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

Full work available at URL: https://arxiv.org/abs/1209.6159

zbMATH Keywords

Bessel processlocal timesBessel equationgeneralized driftsingular stochastic differential equationsuniqueness in lawsingular driftspace transformation

Mathematics Subject Classification ID

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

Related Items (16)

Existence and pathwise uniqueness of solutions for stochastic differential equations involving the local time at point zero ⋮ On dynamical systems perturbed by a null-recurrent motion: the general case ⋮ On path-dependent SDEs involving distributional drifts ⋮ The killed Brox diffusion ⋮ Time inhomogeneous stochastic differential equations involving the local time of the unknown process, and associated parabolic operators ⋮ Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process ⋮ On a class of Lévy-driven McKean-Vlasov SDEs with Hölder coefficients ⋮ On the strong Feller property for stochastic delay differential equations with singular drift ⋮ Stochastic model for barrier crossings and fluctuations in local timescale ⋮ One-dimensional SDEs with LPS-type singular drift coefficients and Hölder continuous diffusion coefficients ⋮ Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero ⋮ One-dimensional stochastic differential equations with generalized and singular drift ⋮ On some properties of sticky Brownian motion ⋮ Convergence rate of Euler scheme for time-inhomogeneous SDEs involving the local time of the unknown process ⋮ Pathwise uniqueness of non-uniformly elliptic SDEs with rough coefficients ⋮ Multidimensional stochastic differential equations with distributional drift

Cites Work

• On symmetric and skew Bessel processes
• On skew Brownian motion
• Continuous strong Markov processes in dimension one
• One-dimensional stochastic differential equations with generalized and singular drift
• Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part III)
• On Stochastic Differential Equations with Reflecting Barriers
• Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part I)
• A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT
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