کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1155599 | 958749 | 2013 | 36 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: One-dimensional stochastic differential equations with generalized and singular drift One-dimensional stochastic differential equations with generalized and singular drift](/preview/png/1155599.png)
Introducing certain singularities, we generalize the class of one-dimensional stochastic differential equations with so-called generalized drift. Equations with generalized drift, well-known in the literature, possess a drift that is described by the semimartingale local time of the unknown process integrated with respect to a locally finite signed measure νν. The generalization which we deal with can be interpreted as allowing more general set functions νν, for example signed measures which are only σσ-finite. However, we use a different approach to describe the singular drift. For the considered class of one-dimensional stochastic differential equations, we derive necessary and sufficient conditions for existence and uniqueness in law of solutions.
Journal: Stochastic Processes and their Applications - Volume 123, Issue 12, December 2013, Pages 4337–4372