25 citations · 25 across the 3 of their papers we have counts for
3 papers
math.PR2015
The Chaotic Representation Property of Compensated-Covariation Stable Families of Martingales
Paolo Di Tella, Hans-Jürgen Engelbert
In the present paper, we study the chaotic representation property for certain families of square integrable martingales. For this purpose, we introduce the notion of compensated-c…
math.PR2012★ 25 cited
One-dimensional Stochastic Differential Equations with Generalized and Singular Drift
Stefan Blei, Hans-Jürgen Engelbert
Introducing certain singularities, we generalize the class of one-dimensional stochastic differential equations with so-called generalized drift. Equations with generalized drift,…
math.PR2012
A Note on One-dimensional Stochastic Differential Equations with Generalized Drift
Stefan Blei, Hans-Jürgen Engelbert
We consider one-dimensional stochastic differential equations with generalized drift which involve the local time of the solution process: X_t = X_0 + \int_0^t b(X_s) dB_s +…