scholarly journals The Stochastic Transport Equation Driven by Levy White Noise

2004 ◽  
Vol 2 (4) ◽  
pp. 627-641 ◽  
Author(s):  
Frank Proske
Keyword(s):  
White Noise ◽  
Transport Equation ◽  
Stochastic Transport ◽  
Lévy White Noise ◽  
Stochastic Transport Equation

scholarly journals ON EXPLICIT STRONG SOLUTION OF ITÔ–SDE'S AND THE DONSKER DELTA FUNCTION OF A DIFFUSION

2004 ◽  
Vol 07 (03) ◽  
pp. 437-447 ◽  
Author(s):  
ALBERTO LANCONELLI ◽  
FRANK PROSKE
Keyword(s):  
Transport Equation ◽  
Strong Solution ◽  
Strong Solutions ◽  
Delta Function ◽  
Explicit Representation ◽  
Stochastic Transport ◽  
Stochastic Transport Equation ◽  
General Stochastic

We determine a new explicit representation of strong solutions of Itô-diffusions and elicit its correspondence to the general stochastic transport equation. We apply this formula to deduce an explicit Donsker delta function of a diffusion.

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