Splitting : Tanaka ’ s SDE revisited

Abstract

1 What follows is my attempt to understand a set of ideas being developed by Boris Tsirelson. I do this by studying a specific, and I hope interesting, example. Tanaka's SDE is one of the easiest examples of a stochastic differential equation with no strong solution. Suppose X t ; t ≥ 0 is a real-valued Brownian motion starting from zero and we put B t = t… (More)

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