Brownian motion with general drift
| Autor: | Yu.A. Semenov, Damir Kinzebulatov |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2017 |
| Předmět: |
Statistics and Probability
Class (set theory) Pure mathematics Applied Mathematics Weak solution Probability (math.PR) 010102 general mathematics 60H10 47D07 (primary) 35J75 (secondary) 01 natural sciences Stochastic differential equation Mathematics - Analysis of PDEs Modeling and Simulation 0103 physical sciences FOS: Mathematics Vector field 010307 mathematical physics 0101 mathematics Brownian motion Mathematics - Probability Analysis of PDEs (math.AP) Mathematics |
| Popis: | We construct and study the weak solution to stochastic differential equation d X ( t ) = − b ( X ( t ) ) d t + 2 d W ( t ) , X ( 0 ) = x , for every x ∈ R d , d ≥ 3 , with b in the class of weakly form-bounded vector fields, containing, as proper subclasses, a sub-critical class [ L d + L ∞ ] d , as well as critical classes such as weak L d class, Kato class, Campanato–Morrey class. |
| Databáze: | OpenAIRE |
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