Stochastic Differential Equations with Generalized Drift Vector

DOI10.1137/1124038MaRDI QIDQ3873265zbMATH OpenOpenAlexFDO

Authors M.Ī. Portenko

Publication date 1980

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/1124038

zbMATH Keywords

generalized drift vector

Mathematics Subject Classification ID

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

Cited in

(9)

• Reflected Brownian motion with singular drift
• Penalty method for obliquely reflected diffusions
• Strong solutions of stochastic differential equations with generalized drift and multidimensional fractional Brownian initial noise
• Arbitrage in skew Brownian motion models
• Two Brownian particles with rank-based characteristics and skew-elastic collisions
• A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
• Parameter estimation for the skew Ornstein-Uhlenbeck processes based on discrete observations
• SPDE with generalized drift and fractional-type noise
• Marketron games: self-propelling stocks vs dumb money and metastable dynamics of the good, bad and ugly markets

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