Splitting: Tanaka's SDE revisited
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Publication:6501547
arXivmath/9911115MaRDI QIDQ6501547FDOQ6501547
Abstract: The weak solution of Tanaka's SDE is not a function of the driving Brownian motion, and therefore it has no Wiener chaos expansion. However in some sense explained here it has a generalised chaos expansion involving infinite products of stochastic differentials accumulating at the minimum of the Brownian path. This is related to the existence of a non-classical noise richer than the usual white noise.
Brownian motion (60J65) Generalized stochastic processes (60G20) Stochastic integral equations (60H20)
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