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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1998 Volume 43, Issue 2, Pages 331–348 (Mi tvp1468)

This article is cited in 11 papers

Strong Markov local Dirichlet processes and stochastic differential equations

H.-J. Engelbert, J. Wolf

Friedrich-Schiller-Universität, Fakultät für Mathematik und Informatik, Institut für Stochastik

Abstract: This paper states the necessary and sufficient conditions on the natural scale and the measure of convergence of the continuous strong Markov local Dirichlet process in order that the process has a representation in the form of a solution of some stochastic differential equation. The results are applied to the case of the Bessel process of arbitrary dimension.

Keywords: Bessel process, Dirichlet process, stochastic differential equations, local time, strong Markov processes.

Language: English

DOI: 10.4213/tvp1468


 English version:
Theory of Probability and its Applications, 1999, 43:2, 189–202

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