scholarly journals Well-Posedness for a Class of Degenerate Itô Stochastic Differential Equations with Fully Discontinuous Coefficients

Symmetry ◽  
2020 ◽  
Vol 12 (4) ◽  
pp. 570
Author(s):  
Haesung Lee ◽  
Gerald Trutnau

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.

2009 ◽  
Vol 09 (03) ◽  
pp. 423-435 ◽  
Author(s):  
TYRONE DUNCAN ◽  
DAVID NUALART

In this paper we establish the existence of pathwise solutions and the uniqueness in law for multidimensional stochastic differential equations driven by a multi-dimensional fractional Brownian motion with Hurst parameter H > 1/2.


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