Construction of local solutions to sde's with singular drift

DOI10.1080/17442509408833889zbMATH Open0826.60049OpenAlexW2006764944MaRDI QIDQ4840929FDOQ4840929

Authors: Rainer Höhnle 

Publication date: 22 November 1995

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509408833889

Recommendations

• On Global Existence of Solutions of SDE's with Singular Drift
• Strong solutions of SDEs with singular drift and Sobolev diffusion coefficients
• On the existence of solutions of stochastic differential equations with singular drifts
• On the uniqueness of solutions of stochastic differential equations with singular drifts
• Strong solutions of stochastic equations with singular time dependent drift

zbMATH Keywords

stochastic differential equationlocal solutionGirsanov transformsingular driftFöllmer measure

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part III)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Brownian motion and harnack inequality for Schrödinger operators
• On the Behaviour of Certain Bessel Functional. An Application to a Class of Stochastic Differential Equations
• The exit measure of a supermartingale
• Fields, Optionality and Measurability
• On Exponential Local Martingales Connected with Diffusion Processes
• Stochastic Integrals of Continuous Local Martingales, II
• Title not available (Why is that?)
• A multidimensional analogue to the 0-1-law of engelbert and Schmidt
• On Global Existence of Solutions of SDE's with Singular Drift

Cited In (4)

• On Global Existence of Solutions of SDE's with Singular Drift
• Skorokhod decomposition for a reflected -strong Feller diffusion with singular drift
• On the existence of solutions of stochastic differential equations with singular drifts
• Hölder continuity property of the densities of SDEs with singular drift coefficients

This page was built for publication: Construction of local solutions to sde's with singular drift

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4840929)