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This article is cited in 299 scientific papers (total in 299 papers)
A transformation of the phase space of a diffusion process that removes the drift
A. K. Zvonkin
Abstract:
In this paper we construct a one-to-one (and quasi-isometric) transformation of a phase space that allows us to pass from a diffusion process with nonzero drift coefficient to a process without drift. Using this transformation we construct strong solutions of stochastic differential equations with a “bad” drift coefficient and give other applications.
Bibliography: 21 titles.
Received: 10.04.1973
Citation:
A. K. Zvonkin, “A transformation of the phase space of a diffusion process that removes the drift”, Math. USSR-Sb., 22:1 (1974), 129–149
Linking options:
https://www.mathnet.ru/eng/sm2963https://doi.org/10.1070/SM1974v022n01ABEH001689 https://www.mathnet.ru/eng/sm/v135/i1/p129
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