On weak uniqueness for some diffusions with discontinuous coefficients

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.

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Year of publication:	2004
Authors:	Krylov, N. V.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 113.2004, 1, p. 37-64
Publisher:	Elsevier
Keywords:	Weak uniqueness Stochastic Ito equations Second-order elliptic equations

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874802