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avid Niralartb* 2 ~~~p~~~t~l~?~e~~tde hlatm8tiques, Uhersitat Authoma de Barcelona, E-081 93-Beliaterra, Spain
 

Summary: avid Niralartb* 2
~~~p~~~t~l~?~e~~tde hlatm8tiques, Uhersitat Authoma de Barcelona, E-081 93-Beliaterra, Spain
bFacukat de Matmcitiqtres, Universitat de Barcelotla, Grain Via 585, 08007-Barcelona, Spain
Received 18 February 1996; received in revised form 5 January 1997
Abstract
In this paper we show that the s
diffusion coefTicie;;ltcr%,and boun
only if the drift is a linear fun~tio~. proon'is based on the m
and makes use of the techniques of alliavin calculus.
ccitj(l!?:6OIJI10;60
ieids; Won-causal stoc
C~~rrcsp(~ll~~il~gauthor. E-mail: alabert@]
`Supported by a grant of the CIRIT No.
"Supported by the GICYT grant number PB 93-0052.
0304-4149/971'517.00,(`i 1997 Elsevier Science B.V. All rights rcservcd
on [O,T ] if the following limit exists in probability:
y a solution to (1.1)we mean a real-valued process (X,, sE[091-j)of class C 'such
that {G$~, SE[O,11) is Stratonovich integrable on [O,t] for each TV[O,I], and
satisfies the system
The valises0 and 1 at the b~und~~rydo not play a special role, and they can

  

Source: Alabert, Aureli - Departament de Matemàtiques, Universitat Auṭnoma de Barcelona

 

Collections: Mathematics