Splitting: Tanaka's SDE revisited
Probability
2007-05-23 v1
Abstract
The weak solution of Tanaka's SDE is not a function of the driving Brownian motion, and therefore it has no Wiener chaos expansion. However in some sense explained here it has a generalised chaos expansion involving infinite products of stochastic differentials accumulating at the minimum of the Brownian path. This is related to the existence of a non-classical noise richer than the usual white noise.
Cite
@article{arxiv.math/9911115,
title = {Splitting: Tanaka's SDE revisited},
author = {Jon warren},
journal= {arXiv preprint arXiv:math/9911115},
year = {2007}
}
Comments
6 pages, LaTex2e