On stochastic continuity of generalized diffusion processes constructed as the strong solution to an SDE

Details On stochastic continuity of generalized diffusion processes constructed as the strong solution to an SDE On stochastic continuity of generalized diffusion processes constructed as the strong solution to an SDE

2006-09-11

arxiv.org/abs/math/0609305v1

Theory of Stochastic Processes Vol. 11(27), no. 1-2, 2005, pp. 125-135

Mathematics

Probability

Scientific paper

The comparison theorem for skew Brownian motions is proved. As the corollary
we get the estimate on ${\Cal L}_1-$distance between two skew Brownian motions
started from different points. Using this result we prove the continuous
dependence on starting point of one class of generalized diffusion processes
constructed as the strong solution to an SDE.

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