English

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 Rd\mathbb{R}^d, d2d\ge 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. The points of degeneracy have dd-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)