Geodesic
Diffusion processes with unbounded drift coefficient
Teoriâ veroâtnostej i ee primeneniâ, Tome 20 (1975) no. 1, pp. 29-39

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The paper deals with properties of solutions of stochastic differential equations with non-degenerate Hölder continuous diffusion coefficient and integrable to some power drift coefficient. It is proved that the obtained in [1] solution of such an equation is a Markov process, and its transition probability function has a density. A uniqueness theorem for some class of solutions is proved. An integral-differential equation for the characteristics of the solution is also obtained. 
@article{TVP_1975_20_1_a2,
     author = {M. \={I}. Portenko},
     title = {Diffusion processes with unbounded drift coefficient},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {29--39},
     publisher = {mathdoc},
     volume = {20},
     number = {1},
     year = {1975},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_1975_20_1_a2/}
}
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M. Ī. Portenko. Diffusion processes with unbounded drift coefficient. Teoriâ veroâtnostej i ee primeneniâ, Tome 20 (1975) no. 1, pp. 29-39. http://geodesic.mathdoc.fr/item/TVP_1975_20_1_a2/