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Teoriya Veroyatnostei i ee Primeneniya, 1979, Volume 24, Issue 2, Pages 332–347
(Mi tvp2866)
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This article is cited in 13 scientific papers (total in 13 papers)
Stochastic differential equations with generalized drift vector
N. I. Portenko Kiev
Abstract:
It is proved that the paths of the continuous Markov process constructed in [3] are the solutions of the stochastic differential equation
$$
dx(t)=a(x(t))dt+b^{1/2}(x(t))\,dw(t),
$$
where $b(x)$, $x\in R^m$, is uniformly nonsingular bounded and Hölder continuous diffusion
matrix and $a(x)$, $x\in R^m$, is the drift vector which may be represented in the form $a(x)=q(x)N(x)\delta_S(x)$. Here $S$ is the $(m-1)$-dimensional surface in $R^m$, $q(x)$, $|q(x)|\le 1$ is real valued continuous function, $N(x)$ is the conormal vector to $S$ at the point $x$ and $\delta_S(x)$ is the generalized function on $R^m$ action of which on the basic function is reduced to the integration over the surface $S$.
Received: 30.05.1977
Citation:
N. I. Portenko, “Stochastic differential equations with generalized drift vector”, Teor. Veroyatnost. i Primenen., 24:2 (1979), 332–347; Theory Probab. Appl., 24:2 (1979), 338–353
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https://www.mathnet.ru/eng/tvp2866 https://www.mathnet.ru/eng/tvp/v24/i2/p332
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