On weak uniqueness for some diffusions with discontinuous coefficients

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Abstract

Several situations when one can prove weak uniqueness of solutions of Itô equations with discontinuous or/and degenerate coefficients are presented. In particular, the cases are considered in which the set of discontinuity is a cone, or a straight line, or else a discrete set of points.

Original languageEnglish (US)
Pages (from-to)37-64
Number of pages28
JournalStochastic Processes and their Applications
Volume113
Issue number1
DOIs
StatePublished - Sep 2004

Bibliographical note

Funding Information:
The work was partially supported by NSF Grant DMS-0140405.

Copyright:
Copyright 2004 Elsevier B.V., All rights reserved.

Keywords

  • Second-order elliptic equations
  • Stochastic Itô equations
  • Weak uniqueness

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