A stochastic differential equation with a sticky point
Probability
2014-03-12 v3
Abstract
We consider a degenerate stochastic differential equation that has a sticky point in the Markov process sense. We prove that weak existence and weak uniqueness hold, but that pathwise uniqueness does not hold nor does a strong solution exist.
Cite
@article{arxiv.1210.1075,
title = {A stochastic differential equation with a sticky point},
author = {Richard F. Bass},
journal= {arXiv preprint arXiv:1210.1075},
year = {2014}
}