Brownian Motion with Singular Time-Dependent Drift
نویسندگان
چکیده
منابع مشابه
Brownian Motion with Singular Drift by Richard
dXt = dWt + dAt , where Wt is d-dimensional Brownian motion with d ≥ 2 and the ith component of At is a process of bounded variation that stands in the same relationship to a measure πi as ∫ t 0 f (Xs)ds does to the measure f (x)dx. We prove weak existence and uniqueness for the above stochastic differential equation when the measures πi are members of the Kato class Kd−1. As a typical example,...
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ژورنال
عنوان ژورنال: Journal of Theoretical Probability
سال: 2016
ISSN: 0894-9840,1572-9230
DOI: 10.1007/s10959-016-0687-3