Well-Posedness for a Class of Degenerate Itô Stochastic Differential Equations with Fully Discontinuous Coefficients
Keyword(s):
We show uniqueness in law for a general class of stochastic differential equations in R d , d ≥ 2 , with possibly degenerate and/or fully discontinuous locally bounded coefficients among all weak solutions that spend zero time at the points of degeneracy of the dispersion matrix. Points of degeneracy have a d-dimensional Lebesgue–Borel measure zero. Weak existence is obtained for a more general, but not necessarily locally bounded drift coefficient.
2011 ◽
Vol 30
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pp. 965-976
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2020 ◽
Vol 130
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pp. 1879-1896
2014 ◽
Vol 50
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pp. 1053-1069
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2015 ◽
Vol 125
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pp. 3327-3354
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2009 ◽
Vol 09
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pp. 423-435
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2013 ◽
Vol 254
(8)
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pp. 3200-3227
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