Balayage formula, local time and applications in stochastic differential equations

DOI10.1016/J.BULSCI.2012.10.003MaRDI QIDQ388124zbMATH OpenOpenAlexFDO

Authors M. Benabdallah, Youssef Ouknine, S. Bouhadou

Publication date 19 December 2013

Published in Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.bulsci.2012.10.003

zbMATH Keywords

stochastic differential equationlocal timessemimartingalesSkorokhod problemBalayage formula

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited in

(3)

• A convolution formula for the local time of an Itô diffusion reflecting at 0 and a generalized Stroock-Williams equation
• Three examples of Brownian flows on \(\mathbb{R}\)
• Pathwise uniqueness of non-uniformly elliptic SDEs with rough coefficients

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