Stochastic differential equations with singular (form-bounded) drift
Probability
2019-04-03 v1 Analysis of PDEs
Abstract
We consider the problem of constructing weak solutions to the It\^{o} and to the Stratonovich stochastic differential equations having critical-order singularities in the drift and critical-order discontinuities in the dispersion matrix.
Keywords
Cite
@article{arxiv.1904.01268,
title = {Stochastic differential equations with singular (form-bounded) drift},
author = {D. Kinzebulatov and Yu. A. Semenov},
journal= {arXiv preprint arXiv:1904.01268},
year = {2019}
}