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

Lee H, Trutnau G (2020)
Symmetry 12(4): 570.

Zeitschriftenaufsatz | Veröffentlicht | Englisch
 
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Autor*in
Lee, HaesungUniBi; Trutnau, Gerald
Abstract / Bemerkung
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.
Stichworte
Computer Science (miscellaneous); Physics and Astronomy (miscellaneous); Chemistry (miscellaneous); General Mathematics
Erscheinungsjahr
2020
Zeitschriftentitel
Symmetry
Band
12
Ausgabe
4
Art.-Nr.
570
ISSN
2073-8994
Page URI
https://pub.uni-bielefeld.de/record/2943452

Zitieren

Lee H, Trutnau G. Well-Posedness for a Class of Degenerate Itô Stochastic Differential Equations with Fully Discontinuous Coefficients. Symmetry. 2020;12(4): 570.
Lee, H., & Trutnau, G. (2020). Well-Posedness for a Class of Degenerate Itô Stochastic Differential Equations with Fully Discontinuous Coefficients. Symmetry, 12(4), 570. doi:10.3390/sym12040570
Lee, H., and Trutnau, G. (2020). Well-Posedness for a Class of Degenerate Itô Stochastic Differential Equations with Fully Discontinuous Coefficients. Symmetry 12:570.
Lee, H., & Trutnau, G., 2020. Well-Posedness for a Class of Degenerate Itô Stochastic Differential Equations with Fully Discontinuous Coefficients. Symmetry, 12(4): 570.
H. Lee and G. Trutnau, “Well-Posedness for a Class of Degenerate Itô Stochastic Differential Equations with Fully Discontinuous Coefficients”, Symmetry, vol. 12, 2020, : 570.
Lee, H., Trutnau, G.: Well-Posedness for a Class of Degenerate Itô Stochastic Differential Equations with Fully Discontinuous Coefficients. Symmetry. 12, : 570 (2020).
Lee, Haesung, and Trutnau, Gerald. “Well-Posedness for a Class of Degenerate Itô Stochastic Differential Equations with Fully Discontinuous Coefficients”. Symmetry 12.4 (2020): 570.
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2020-05-19T08:10:57Z
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