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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
ISSN/eISSN0894-9840
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
DOI10.1007/s10959-016-0687-3
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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
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被引频次:3[WOS]   [WOS记录]     [WOS相关记录]
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
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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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