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On the solution of a one-dimensional stochastic differential equation with singular drift coefficient

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Abstract

We determine generalized diffusion coefficients and describe the structure of local times for a process defined as a solution of a one-dimensional stochastic differential equation with singular drift coefficient.

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Authors and Affiliations

  1. Institute of Mathematics, Ukrainian Academy of Sciences, Kiev

    A. M. Kulik

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  1. A. M. Kulik
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Translated from Ukrains’kyi Matematychnyi Zhurnal, Vol. 56, No. 5, pp. 642–655, May, 2004.

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Kulik, A.M. On the solution of a one-dimensional stochastic differential equation with singular drift coefficient. Ukr Math J 56, 774–789 (2004). https://doi.org/10.1007/PL00022186

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  • DOI: https://doi.org/10.1007/PL00022186

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