A NOTE ON THE HARRISON-SHEPP STOCHASTIC EQUATION

DOI10.1515/DEMA-1984-0302zbMath0574.60064OpenAlexW2783086427MaRDI QIDQ3694369

Marek Rutkowski

Publication date: 1984

Published in: Demonstratio Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/dema-1984-0302

zbMATH Keywords

local timeinfinitely many solutionsskew Brownian motionHarrison-Shepp equation

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Local time and additive functionals (60J55)

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