Splitting: Tanaka's SDE revisited

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The weak solution of Tanaka's SDE is not a function of the driving Brownian motion, and therefore it has no Wiener chaos expansion. However in some sense explained here it has a generalised chaos expansion involving infinite products of stochastic differentials accumulating at the minimum of the Brownian path. This is related to the existence of a non-classical noise richer than the usual white noise.
6 pages, LaTex2e

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Probability, 60G20 (Primary) 60J65, 60H20 (Secondary)

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http://salesiana.dossiersoluciones.com/handle/123456789/79416

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/9911115
 http://arxiv.org/abs/math/9911115

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arXiv