One-dimensional stochastic differential equations with generalized and singular drift

DOI10.1016/J.SPA.2013.06.014zbMATH Open1295.60071OpenAlexW2073676861MaRDI QIDQ2447741FDOQ2447741

Authors Stefan Blei, H.-J. 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 equationBessel processlocal timesgeneralized 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)

Abstract: Introducing certain singularities, we generalize the class of one-dimensional stochastic differential equations with so-called generalized drift. Equations with generalized drift, well-known in the literature, possess a drift that is described by the semimartingale local time of the unknown process integrated with respect to a locally finite signed measure

u. The generalization which we deal with can be interpreted as allowing more general set functions

u, for example signed measures which are only sigma-finite. However, we use a different approach to describe the singular drift. For the considered class of one-dimensional stochastic differential equations, we derive necessary and sufficient conditions for existence and uniqueness in law of solutions.

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Cited in

(27)

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• Invariant Distributions for Singular Stochastic Differential Equations
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• One-dimensional stochastic differential equations with generalized and singular drift
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• 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
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• On the Generalized Drift Skorokhod Problem in One Dimension
• Pathwise uniqueness of non-uniformly elliptic SDEs with rough coefficients
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• Stochastic model for barrier crossings and fluctuations in local timescale
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• The killed Brox diffusion

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