38 citations · 70 across the 12 of their papers we have counts for
Showing 2011 · math.PRShow all
2 papers · 2 filters
math.PR2011★ 5 cited
Planar Diffusions with Rank-Based Characteristics: Transition Probabilities, Time Reversal, Maximality and Perturbed Tanaka equations
E. Robert Fernholz, Tomoyuki Ichiba, Ioannis Karatzas +1
We construct a planar diffusion process whose infinitesimal generator depends only on the order of the components of the process. Speaking informally and a bit imprecisely for the…
math.PR2011★ 12 cited
The solution of the perturbed Tanaka-equation is pathwise unique
Vilmos Prokaj
The Tanaka equation is an example of a stochastic differential equation (SDE) without strong solution. Hence pathwise uniqueness does not ho…