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A Note on One-dimensional Stochastic Differential Equations with Generalized Drift

Probability 2012-08-16 v1

Abstract

We consider one-dimensional stochastic differential equations with generalized drift which involve the local time LXL^X of the solution process: X_t = X_0 + \int_0^t b(X_s) dB_s + \int_\mathbb{R} L^X(t,y) \nu(dy), where b is a measurable real function, BB is a Wiener process and ν\nu denotes a set function which is defined on the bounded Borel sets of the real line R\mathbb{R} such that it is a finite signed measure on B([N,N])\mathscr{B}([-N,N]) for every NNN \in \mathbb{N}. This kind of equation is, in dependence of using the right, the left or the symmetric local time, usually studied under the atom condition ν(x)<1/2\nu({x}) < 1/2, ν(x)>1/2\nu({x}) > -1/2 and ν(x)<1|\nu({x})| < 1, respectively. This condition allows to reduce an equation with generalized drift to an equation without drift and to derive conditions on existence and uniqueness of solutions from results for equations without drift. The main aim of the present note is to treat the cases ν(x)1/2\nu({x}) \geq 1/2, ν(x)1/2\nu({x}) \leq -1/2 and ν(x)1|\nu({x})| \geq 1, respectively, for some xRx \in \mathbb{R}, and we give a complete description of the features of equations with generalized drift and their solutions in these cases.

Keywords

Cite

@article{arxiv.1208.3078,
  title  = {A Note on One-dimensional Stochastic Differential Equations with Generalized Drift},
  author = {Stefan Blei and Hans-Jürgen Engelbert},
  journal= {arXiv preprint arXiv:1208.3078},
  year   = {2012}
}

Comments

12 pages

R2 v1 2026-06-21T21:50:53.476Z