Strong Markov Local Dirichlet Processes and Stochastic Differential Equations

DOI10.1137/S0040585X97976829MaRDI QIDQ4954352zbMATH OpenFDO

Authors H.-J. Engelbert, Jochen Wolf

Publication date 6 June 2000

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

Full work available at URL https://doi.org/10.1137/S0040585X97976829

zbMATH Keywords

Bessel processDirichlet processlocal timestochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)

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Cited in

(9)

• On path-dependent SDEs involving distributional drifts
• A Feynman-Kac result via Markov BSDEs with generalised drivers
• Some parabolic PDEs whose drift is an irregular random noise in space
• Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions
• Exit times densities of the Bessel process
• scientific article; zbMATH DE number 1053248 (Why is no real title available?)
• scientific article; zbMATH DE number 775006 (Why is no real title available?)
• Multidimensional stochastic differential equations with distributional drift
• On SDEs for Bessel processes in low dimension and path-dependent extensions

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