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asked Jan 19, 2012 at 9:42

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Tanaka stochastic differential equation and Kolmogorov equation

Given Tanaka sde

$$dX_t=[a{\rm sign}(W_t)+b]dW_t$$

is there associated a diffusion process and so a Kolmogorov (Fokker-Planck) equation? What is this equation?

References answering the question are welcome.

Thanks.

stochastic-processes stochastic-calculus reference-request

asked Jan 19, 2012 at 9:42

1.7k
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15