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JOURNALS // Matematicheskii Sbornik // Archive

Mat. Sb. (N.S.), 1974 Volume 93(135), Number 1, Pages 129–149 (Mi sm2963)

This article is cited in 294 papers

A transformation of the phase space of a diffusion process that removes the drift

A. K. Zvonkin


Abstract: In this paper we construct a one-to-one (and quasi-isometric) transformation of a phase space that allows us to pass from a diffusion process with nonzero drift coefficient to a process without drift. Using this transformation we construct strong solutions of stochastic differential equations with a “bad” drift coefficient and give other applications.
Bibliography: 21 titles.

UDC: 519.2

MSC: Primary 60J60, 60H15; Secondary 93E20, 60H10

Received: 10.04.1973


 English version:
Mathematics of the USSR-Sbornik, 1974, 22:1, 129–149

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