Diffusion Processes with Generalized Drift Coefficients

DOI10.1137/1124005zbMath0432.60094OpenAlexW1986598165MaRDI QIDQ3870114

M. I. Portenko

Publication date: 1979

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

Full work available at URL: https://doi.org/10.1137/1124005

zbMATH Keywords

generalized functiondiffusion processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Distributions, generalized functions, distribution spaces (46F99)

Related Items (8)

On dynamical systems perturbed by a null-recurrent motion: the general case ⋮ Parameter estimation for the skew Ornstein-Uhlenbeck processes based on discrete observations ⋮ Arbitrage in skew Brownian motion models ⋮ Two Brownian particles with rank-based characteristics and skew-elastic collisions ⋮ A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients ⋮ Penalty method for obliquely reflected diffusions ⋮ A Markov chain approximation scheme for option pricing under skew diffusions ⋮ Asymmetric skew Bessel processes and their applications to finance

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