Stochastic Differential Equations with Generalized Drift Vector

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Previous article Next article Stochastic Differential Equations with Generalized Drift VectorN. I. PortenkoN. I. Portenkohttps://doi.org/10.1137/1124038PDFBibTexSections ToolsAdd to favoritesExport CitationTrack CitationsEmail SectionsAbout[1] I. I. Gikhman and , A. V. Skorokhod, The Theory of Stochastic Processes, Vol. II, Springer, New York, 1976 0066.37901 Google Scholar[2] E. B. Dynkin, Markov processes. Vols. I, II, Translated with the authorization and assistance of the author by J. Fabius, V. Greenberg, A. Maitra, G. Majone. Die Grundlehren der Mathematischen Wi ssenschaften, Bände 121, Vol. 122, Academic Press Inc., Publishers, New York, 1965Vol. I: xii+365 pp.; Vol. II: viii+274 MR0193671 (33:1887) 0132.37901 CrossrefGoogle Scholar[3] N. I. Portenko, Diffusion processes with generalized drift coefficients, Theory Prob. Appl., 24 (1979), 62–78 10.1137/1124005 0432.60094 LinkGoogle Scholar[4] A. V. Skorokhod, On the local structure of continuous Markov processes, Theory Prob. Appl., 11 (1966), 336–372 10.1137/1111036 LinkGoogle Scholar Previous article Next article FiguresRelatedReferencesCited ByDetails Strong Solutions of Stochastic Differential Equations with Generalized Drift and Multidimensional Fractional Brownian Initial NoiseJournal of Theoretical Probability, Vol. 35, No. 2 | 8 March 2021 Cross Ref Penalty method for obliquely reflected diffusionsLithuanian Mathematical Journal, Vol. 61, No. 4 | 5 October 2021 Cross Ref Reflected Brownian motion with singular driftBernoulli, Vol. 27, No. 2 | 1 Mar 2021 Cross Ref Parameter estimation for the skew Ornstein-Uhlenbeck processes based on discrete observationsCommunications in Statistics - Theory and Methods, Vol. 49, No. 9 | 7 February 2019 Cross Ref Penalty method for reflected diffusions on the half-lineStochastics, Vol. 89, No. 2 | 24 October 2016 Cross Ref SPDE with generalized drift and fractional-type noiseNonlinear Differential Equations and Applications NoDEA, Vol. 23, No. 5 | 21 September 2016 Cross Ref Two Brownian particles with rank-based characteristics and skew-elastic collisionsStochastic Processes and their Applications, Vol. 123, No. 8 | 1 Aug 2013 Cross Ref Arbitrage in skew Brownian motion modelsInsurance: Mathematics and Economics, Vol. 50, No. 1 | 1 Jan 2012 Cross Ref A scheme for simulating one-dimensional diffusion processes with discontinuous coefficientsThe Annals of Applied Probability, Vol. 16, No. 1 | 1 Feb 2006 Cross Ref On Necessary and Sufficient Conditions for Convergence of Solutions to One-Dimensional Stochastic Diffusion Equations with a Nonregular Dependence of the Coefficients on a ParameterG. L. KulinichTheory of Probability & Its Applications, Vol. 27, No. 4 | 17 July 2006AbstractPDF (628 KB) Volume 24, Issue 2| 1980Theory of Probability & Its Applications241-452 History Submitted:30 May 1977Published online:28 July 2006 InformationCopyright © 1979 © Society for Industrial and Applied MathematicsPDF Download Article & Publication DataArticle DOI:10.1137/1124038Article page range:pp. 338-353ISSN (print):0040-585XISSN (online):1095-7219Publisher:Society for Industrial and Applied Mathematics