THE BROWNIAN MOTION PROCESS WITH GENERALIZED DIFFUSION MATRIX AND DRIFT VECTOR

BOHDAN I. KOPYTKO AND ANDRIY F. NOVOSYADLO
Theory of Stochastic Processes Vol. 14 (30), no. 2, 2008, pp. 60–70
Using the method of the classical potential theory, we have constructed a semigroup of operators that describes a multidimensional process of Brownian motion, for which the drift vector and the diffusion matrix are generalized functions.

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