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.
Bibliographical noteFunding Information:
The work was partially supported by NSF Grant DMS-0140405.
Copyright 2004 Elsevier B.V., All rights reserved.
- Second-order elliptic equations
- Stochastic Itô equations
- Weak uniqueness