Planar diffusions with rank-based characteristics and perturbed Tanaka equations

DOI10.1007/s00440-012-0430-7zbMath1274.60247arXiv1108.3992OpenAlexW2015003671MaRDI QIDQ1955831

Vilmos Prokaj, E. Robert Fernholz, Tomoyuki Ichiba, Ioannis Karatzas

Publication date: 19 June 2013

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1108.3992

zbMATH Keywords

diffusion processlocal timeTanaka formulaskew Brownian motion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Diffusion processes (60J60)

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