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arXiv · 1904.01268

Stochastic differential equations with singular (form-bounded) drift

D. Kinzebulatov·Yu. A. Semenov
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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.

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D. Kinzebulatov, Yu. A. Semenov. 2019-04-02. Stochastic differential equations with singular (form-bounded) drift. https://arxiv.org/abs/1904.01268

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