Given Tanaka sde
$$dX_t=[a{\rm sign}(X_t)+b]dW_t$$
is there associated a diffusion process and so a Kolmogorov (FokkerPlanck) equation? What is this equation?
References answering the question are welcome.
Thanks.
Given Tanaka sde $$dX_t=[a{\rm sign}(X_t)+b]dW_t$$ is there associated a diffusion process and so a Kolmogorov (FokkerPlanck) equation? What is this equation? References answering the question are welcome. Thanks. 

