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On Exponential Local Martingales Connected with Diffusion Processes
Author(s) -
Engelbert H. J.,
Schmidt W.
Publication year - 1984
Publication title -
mathematische nachrichten
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.913
H-Index - 50
eISSN - 1522-2616
pISSN - 0025-584X
DOI - 10.1002/mana.19841190108
Subject(s) - mathematics , citation , philosophy , computer science , library science
summary:We study the regularizing effect of the noise on differential equations with irregular coefficients. We present existence and uniqueness theorems for stochastic differential equations with locally unbounded drift