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On explicit strong solution of Itô-SDE’s and the Donsker delta function of a diffusion. (English) Zbl 1050.60065
Itô-type stochastic differential equations are proved to admit explicit strong solutions in the language of Wick exponentials. Connections with the general stochastic transport equation and Donsker’s delta function are obtained.

MSC:
60H15 Stochastic partial differential equations (aspects of stochastic analysis)
60H40 White noise theory
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