This article is cited in 24 papers

Diffusion processes with unbounded drift coefficient

M. Ī. Portenko

Kiev

Abstract: The paper deals with properties of solutions of stochastic differential equations with non-degenerate Hölder continuous diffusion coefficient and integrable to some power drift coefficient. It is proved that the obtained in [1] solution of such an equation is a Markov process, and its transition probability function has a density. A uniqueness theorem for some class of solutions is proved. An integral-differential equation for the characteristics of the solution is also obtained.

Received: 29.10.1973

 English version: Theory of Probability and its Applications, 1975, 20:1, 27–37

Bibliographic databases:

• 
•