On the one-sided tanaka equation with drift
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Publication:428701
DOI10.1214/ECP.v16-1665zbMath1243.60048arXiv1108.4069MaRDI QIDQ428701
Ioannis Karatzas, Mykhaylo Shkolnikov, Albert N. Shiryaev
Publication date: 22 June 2012
Published in: Electronic Communications in Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1108.4069
stochastic differential equationweak uniquenessskew Brownian motionstrong existencecomparison theorems for diffusionssticky Brownian motionstrong uniquenesstanaka equationweak existence
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes (60J60)
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