Stochastic Differential Equations with Generalized Drift Vector

DOI10.1137/1124038zbMath0434.60062OpenAlexW2023775840MaRDI QIDQ3873265

M. I. Portenko

Publication date: 1980

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

Full work available at URL: https://doi.org/10.1137/1124038

zbMATH Keywords

generalized drift vector

Mathematics Subject Classification ID

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

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Strong solutions of stochastic differential equations with generalized drift and multidimensional fractional Brownian initial noise ⋮ Parameter estimation for the skew Ornstein-Uhlenbeck processes based on discrete observations ⋮ Arbitrage in skew Brownian motion models ⋮ Two Brownian particles with rank-based characteristics and skew-elastic collisions ⋮ SPDE with generalized drift and fractional-type noise ⋮ A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients ⋮ Reflected Brownian motion with singular drift ⋮ Penalty method for obliquely reflected diffusions

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