Discrete approximation to solution flows of Tanaka SDE related to Walsh Brownian motion

Hatem Hajri (1, 2)

1 UP11 - Université Paris-Sud - Paris 11
2 LM-Orsay - Laboratoire de Mathématiques d'Orsay

In a previous work, we have defined a Tanaka SDE related to Walsh Brownian motion which depends on kernels. It was shown that there are only one Wiener solution and only one flow of mappings solving this equation. In the terminology of Le Jan and Raimond, these are respectively the stronger and the weaker among all solutions. In this paper, we obtain these solutions as limits of discrete models.

Domaines: Probabilités [math.PR]

Hatem Hajri. Discrete approximation to solution flows of Tanaka SDE related to Walsh Brownian motion. 2011. ⟨hal-00553691v2⟩