Work

Stochastic differential equations with singular (form-bounded) drift

Year: 2019

Type: preprint

Abstract: We consider the problem of constructing weak solutions to the Itô and to the Stratonovich stochastic differential equations having critical-order singularities in the drift and critical-order discontinuities in the dispersion matrix.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.1904.01268

Authors: Kinzebulatov, D., Semenov, Yu. A.

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W4394665922

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