Treffer: The Novikov and entropy conditions of multidimensional diffusion processes with singular drift
Title:
The Novikov and entropy conditions of multidimensional diffusion processes with singular drift
Authors:
Source:
Probability theory and related fields. 97(4):515-542
Publisher Information:
Berlin; Heidelberg; New York, NY: Springer, 1993.
Publication Year:
1993
Physical Description:
print, 39 ref
Original Material:
INIST-CNRS
Subject Terms:
Mathematics, Mathématiques, Sciences exactes et technologie, Exact sciences and technology, Sciences et techniques communes, Sciences and techniques of general use, Mathematiques, Mathematics, Probabilités et statistiques, Probability and statistics, Théorie des probabilités et processus stochastiques, Probability theory and stochastic processes, Analyse stochastique, Stochastic analysis, Entropie, Entropy, Entropía, Equation différentielle, Differential equation, Ecuación diferencial, Equation multidimensionnelle, N dimension equation, Ecuación multidimensional, Equation stochastique, Stochastic equation, Ecuación estocástica, Fonctionnelle additive, Additive functional, Funciónal aditiva, Martingale, Processus diffusion, Diffusion process, Proceso difusión, Solution faible, Weak solution, Solución débil, Condition Novikov, Dérive singulière, Mesure Wiener
Document Type:
Fachzeitschrift
Article
File Description:
text
Language:
English
Author Affiliations:
Univ. Zürich, Inst. angewandte Mathematik, 8001 Zürich, Switzerland
ISSN:
0178-8051
Rights:
Copyright 1994 INIST-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
Notes:
Mathematics
Accession Number:
edscal.4146883
Database:
PASCAL Archive
Weitere Informationen
We consider multidimensional stochastic differential equations of the form dXt = b(t, Xt)dt + dWt 0 ≤ t ≤ R, R < ∞ (1) with arbitrary initial (probability) distribution μ on Rd, d ≥ 1. The first aim of this paper is to give handy-to-verify analytic (i.e. non-stochastic) conditions for the existence of a weak solution of (1), where the drift b will be allowed to have singularities. These investigations are illustrated by various examples. We first concentrate on (a uniform form of) the Novikov condition ... (formule)... and then investigate further sufficient conditions for the applicability of the Girsanov-Maruyama Theorem which are not covered by (2).