Stochastic differential equations for Dirichlet processes

DOI10.1007/S004400100151zbMATH Open0995.60053OpenAlexW1999832754MaRDI QIDQ5956497FDOQ5956497

Authors: Richard F. Bass, Zhen-Qing Chen 

Publication date: 23 October 2002

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s004400100151

Recommendations

• scientific article; zbMATH DE number 3868360
• One-dimensional stochastic differential equations involving a singular increasing process
• One-dimensional stochastic differential equations with singular and degenerate coefficients
• Strong solutions of stochastic differential equations involving local times
• On the uniqueness of solutions of stochastic differential equations with singular drifts

zbMATH Keywords

Dirichlet processstrong solutionsemi-martingalegeneralized driftStratonovich integralpathwise uniquenessItô integral

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dirichlet forms (31C25) Transition functions, generators and resolvents (60J35) Local time and additive functionals (60J55)

Cited In (32)

• Evolution of a passive particle in a one-dimensional diffusive environment
• On the strong convergence rate for the Euler-Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local time
• Solving some stochastic differential equation using Dirichlet distributions
• Regularisation by fractional noise for one-dimensional differential equations with distributional drift
• The It{\^o}-Tanaka Trick: a non-semimartingale approach
• Multidimensional SDEs with singular drift and universal construction of the polymer measure with white noise potential
• Singular Brownian diffusion processes
• On Probabilistic Analytical and Numerical Approaches for Divergence Form Operators with Discontinuous Coefficients
• Weak well-posedness for a class of degenerate Lévy-driven SDEs with Hölder continuous coefficients
• Rough paths and 1d SDE with a time dependent distributional drift: application to polymers
• Multidimensional stochastic differential equations with distributional drift
• Strong existence and uniqueness for stable stochastic differential equations with distributional drift
• Stochastic differential equation for Brox diffusion
• Multidimensional SDE with distributional drift and Lévy noise
• Heat kernel estimates for stable-driven SDEs with distributional drift
• Some SDEs with distributional drift. I: General calculus
• On path-dependent SDEs involving distributional drifts
• Well‐posedness of stochastic heat equation with distributional drift and skew stochastic heat equation
• C∞− regularization of ODEs perturbed by noise
• Short-time asymptotic behavior of the Brox diffusion
• One dimensional stochastic differential equations with distributional drifts
• Elliptic PDEs with distributional drift and backward SDEs driven by a càdlàg martingale with random terminal time
• Nonlocal elliptic equation in Hölder space and the martingale problem
• On multidimensional stable-driven stochastic differential equations with Besov drift
• Properties of the EMCEL scheme for approximating irregular diffusions
• Nondifferentiable functions of one-dimensional semimartingales
• Comparison of classical and path-by-path solutions to SDEs
• Some parabolic PDEs whose drift is an irregular random noise in space
• Regularity of local times associated with Volterra-Lévy processes and path-wise regularization of stochastic differential equations
• Quantitative heat-kernel estimates for diffusions with distributional drift
• Directed chain stochastic differential equations
• Solutions of stochastic partial differential equations considered as Dirichlet processes

This page was built for publication: Stochastic differential equations for Dirichlet processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5956497)