首页 | 本学科首页   官方微博 | 高级检索  
     检索      


One-dimensional stochastic differential equations with generalized and singular drift
Authors:Stefan Blei  Hans-Jürgen Engelbert
Institution:1. Finanz-DATA GmbH, Beratungs- und Softwarehaus, Helenenstraße 3, D-99867 Gotha, Germany;2. Friedrich-Schiller-Universität Jena, Fakultät für Mathematik und Informatik, Institut für Stochastik, Ernst-Abbe-Platz 2, D-07743 Jena, Germany
Abstract: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.
Keywords:60H10  60J55
本文献已被 ScienceDirect 等数据库收录!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号