We determine a new explicit representation of the strong solution of Itˆo-diffusions and elicit its correspondence to the general stochastic transport equation. We apply this formula to deduce an explicit Donsker delta function of a diffusion.
On explicit strong solutions on Ito-SDEs and the Donsker delta function of a diffusion
LANCONELLI, ALBERTO;
2004-01-01
Abstract
We determine a new explicit representation of the strong solution of Itˆo-diffusions and elicit its correspondence to the general stochastic transport equation. We apply this formula to deduce an explicit Donsker delta function of a diffusion.File in questo prodotto:
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