Hiding a constant drift
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Publication:537135
DOI10.1214/10-AIHP363zbMath1216.60048MaRDI QIDQ537135
Walter Schachermayer, Miklós Rásonyi, Vilmos Prokaj
Publication date: 19 May 2011
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/240013
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Foundations of stochastic processes (60G05)
Related Items (4)
The solution of the perturbed Tanaka-equation is pathwise unique ⋮ On the lack of semimartingale property ⋮ Hiding a constant drift -- a strong solution ⋮ Example of a Dirichlet process whose zero energy part has finite \(p\)-th variation
Cites Work
- Random times and enlargements of filtrations in a Brownian setting.
- Hiding a drift
- Unfolding the Skorohod reflection of a semimartingale
- Stochastic bifurcation models
- An Example of a Stochastic Differential Equation Having No Strong Solution
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