• Medientyp: E-Artikel
  • Titel: Well-Posedness for a Class of Degenerate Itô Stochastic Differential Equations with Fully Discontinuous Coefficients
  • Beteiligte: Lee, Haesung [VerfasserIn]; Trutnau, Gerald [VerfasserIn]
  • Erschienen: MDPI, 2020
  • Sprache: Englisch
  • DOI: https://doi.org/10.3390/sym12040570
  • ISSN: 2073-8994
  • Schlagwörter: Chemistry (miscellaneous) ; Physics and Astronomy (miscellaneous) ; General Mathematics ; Computer Science (miscellaneous)
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  • Beschreibung: Lee H, Trutnau G. Well-Posedness for a Class of Degenerate Itô Stochastic Differential Equations with Fully Discontinuous Coefficients. Symmetry . 2020;12(4): 570. ; 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.
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  • Rechte-/Nutzungshinweise: Namensnennung (CC BY)