Well-posedness for a class of degenerate It\^o-SDEs with fully discontinuous coefficients
Probability
2020-05-11 v2 Analysis of PDEs
Functional Analysis
Abstract
We show uniqueness in law for a general class of stochastic differential equations in , , 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. The points of degeneracy have -dimensional Lebesgue-Borel measure zero. Weak existence is obtained for more general, not necessarily locally bounded drift coefficient.
Keywords
Cite
@article{arxiv.1909.09430,
title = {Well-posedness for a class of degenerate It\^o-SDEs with fully discontinuous coefficients},
author = {Haesung Lee and Gerald Trutnau},
journal= {arXiv preprint arXiv:1909.09430},
year = {2020}
}
Comments
Long version with all details (correction of typos)