scientific article; zbMATH DE number 52577

MaRDI QIDQ4002873zbMATH OpenFDO

Authors W. Stummer

Publication date 23 January 1993

zbMATH Keywords

entropy conditionGirsanov formulaKato classsingular driftstochastic differential equationweak solution

Mathematics Subject Classification ID

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

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Cited in

(8)

• Diffusion processes with singular drift fields
• On the regularization effect of space-time white noise on quasi-linear parabolic partial differential equations
• The Novikov and entropy conditions of multidimensional diffusion processes with singular drift
• On exponential moments of two Brownian functionals
• On bounded entropy of solutions of multi-dimensional stochastic differential equations
• Consistent fitting of one-factor models to interest rate data.
• On exponentials of additive functionals of Markov processes
• On Novikov and arbitrage properties of multidimensional diffusion processes with exploding drift

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