Diffusions with rank-based characteristics and values in the nonnegative quadrant
DOI10.3150/12-BEJ459zbMath1286.60077arXiv1202.0036OpenAlexW3101395615MaRDI QIDQ2435250
Vilmos Prokaj, Tomoyuki Ichiba, Ioannis Karatzas
Publication date: 4 February 2014
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1202.0036
Skorokhod problemweak and strong solutionssemimartingale local timeskew representationsdiffusion with reflection and rank-dependent characteristicssum-of-exponential stationary densitiesTanaka formula and equationunfolding nonnegative semimartingales
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)
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