Zero noise limits using local times

2013/01/28 by Dario Trevisan, Trevisan, Dario
Economics, Econometrics and Finance · Physics and Astronomy · #Advanced Thermodynamics and Statistical Mechanics #Economic theories and models #FOS: Mathematics #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1301.6510

openalex publication_date 2013/01/28 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We consider a well-known family of SDEs with irregular drifts and the correspondent zero noise limits. Using (mollified) local times, we show which trajectories are selected. The approach is completely probabilistic and relies on elementary stochastic calculus only.

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