Stratonovich stochastic differential equation with irregular coefficients: Girsanov's example revisited
DOI10.3150/19-BEJ1161zbMath1466.60120arXiv1812.05324WikidataQ115223048 ScholiaQ115223048MaRDI QIDQ2295037
Ilya Pavlyukevitch, Georgiy M. Shevchenko
Publication date: 12 February 2020
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1812.05324
non-uniquenesslocal timegeneralized Itô's formulaStratonovich integralskew Brownian motionsingular stochastic differential equationGirsanov's exampleheterogeneous diffusion processtime reversion
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Anomalous diffusion models (subdiffusion, superdiffusion, continuous-time random walks, etc.) (60K50)
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