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On the existence of solutions of stochastic differential equations with singular drifts
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  • Published: June 1987

On the existence of solutions of stochastic differential equations with singular drifts

  • Satoshi Takanobu1 

Probability Theory and Related Fields volume 74, pages 295–315 (1987)Cite this article

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Summary

In this paper we prove the existence of solutions for a stochastic differential equation inR d, when the drift and the diffusion term are allowed to depend on a specific way on the local time of thedth coordinate of the process to be constructed. The methods of our construction are of purely probabilistic nature.

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Authors and Affiliations

  1. Department of Mathematics, Faculty of Science, Tokyo Metropolitan University, Setagaya, 158, Tokyo, Japan

    Satoshi Takanobu

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  1. Satoshi Takanobu
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Takanobu, S. On the existence of solutions of stochastic differential equations with singular drifts. Probab. Th. Rel. Fields 74, 295–315 (1987). https://doi.org/10.1007/BF00569995

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  • Received: 01 October 1985

  • Issue Date: June 1987

  • DOI: https://doi.org/10.1007/BF00569995

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Keywords

  • Differential Equation
  • Stochastic Process
  • Probability Theory
  • Local Time
  • Mathematical Biology
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