On weak uniqueness for some diffusions with discontinuous coefficients

N. V. Krylov

doi:10.1016/j.spa.2004.03.012

On weak uniqueness for some diffusions with discontinuous coefficients

N. V. Krylov

Mathematics

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40 Scopus citations

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 language	English (US)
Pages (from-to)	37-64
Number of pages	28
Journal	Stochastic Processes and their Applications
Volume	113
Issue number	1
DOIs	https://doi.org/10.1016/j.spa.2004.03.012
State	Published - Sep 2004

Bibliographical note

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

Keywords

Second-order elliptic equations
Stochastic Itô equations
Weak uniqueness

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title = "On weak uniqueness for some diffusions with discontinuous coefficients",

abstract = "Several situations when one can prove weak uniqueness of solutions of It{\^o} 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.",

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KW - Second-order elliptic equations

KW - Stochastic Itô equations

KW - Weak uniqueness

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On weak uniqueness for some diffusions with discontinuous coefficients

Abstract

Bibliographical note

Keywords

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