发表状态 | 已发表Published |
题名 | Brownian Motion with Singular Time-Dependent Drift |
作者 | |
发表日期 | 2017-12-01 |
发表期刊 | Journal of Theoretical Probability
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ISSN/eISSN | 0894-9840 |
卷号 | 30期号:4页码:1499-1538 |
摘要 | In this paper, we study weak solutions for the following type of stochastic differential equation [Equation not available: see fulltext.]where b: [ 0 , ∞) × R→ R is a measurable drift, W=(Wt)t≥0 is a d-dimensional Brownian motion and (s, x) ∈ [0 , ∞) × R is the starting point. A solution X=(Xt)t≥s for the above SDE is called a Brownian motion with time-dependent drift b starting from (s, x). Under the assumption that |b| belongs to the forward-Kato class FKd-1α for some α∈ (0 , 1 / 2) , we prove that the above SDE has a unique weak solution for every starting point (s, x) ∈ [ 0 , ∞) × R. |
关键词 | Kato class Martingale problem Resolvent Singular drift Stochastic differential equations Weak solutions |
DOI | 10.1007/s10959-016-0687-3 |
URL | 查看来源 |
收录类别 | SCIE |
语种 | 英语English |
WOS研究方向 | Mathematics |
WOS类目 | Statistics & Probability |
WOS记录号 | WOS:000415378500010 |
Scopus入藏号 | 2-s2.0-84965022897 |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | https://repository.uic.edu.cn/handle/39GCC9TT/7936 |
专题 | 个人在本单位外知识产出 |
通讯作者 | Jin, Peng |
作者单位 | Fakultät für Mathematik und Naturwissenschaften, Bergische Universität Wuppertal, Wuppertal, Gaußstraße 20, 42119, Germany |
推荐引用方式 GB/T 7714 | Jin, Peng. Brownian Motion with Singular Time-Dependent Drift[J]. Journal of Theoretical Probability, 2017, 30(4): 1499-1538. |
APA | Jin, Peng. (2017). Brownian Motion with Singular Time-Dependent Drift. Journal of Theoretical Probability, 30(4), 1499-1538. |
MLA | Jin, Peng."Brownian Motion with Singular Time-Dependent Drift". Journal of Theoretical Probability 30.4(2017): 1499-1538. |
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