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On weak uniqueness for some diffusions with discontinuous coefficients

Author

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  • Krylov, N. V.

Abstract

Several situations when one can prove weak uniqueness of solutions of Itô equations with discontinuous or/and degenerate coefficients are presented. In particular, the cases are considered in which the set of discontinuity is a cone, or a straight line, or else a discrete set of points.

Suggested Citation

  • Krylov, N. V., 2004. "On weak uniqueness for some diffusions with discontinuous coefficients," Stochastic Processes and their Applications, Elsevier, vol. 113(1), pages 37-64, September.
    • Handle: RePEc:eee:spapps:v:113:y:2004:i:1:p:37-64
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    References listed on IDEAS

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    1. Khasminskii, R. & Krylov, N., 2001. "On averaging principle for diffusion processes with null-recurrent fast component," Stochastic Processes and their Applications, Elsevier, vol. 93(2), pages 229-240, June.
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    Cited by:

    1. Szydlowski, Martin, 2019. "Incentives, project choice, and dynamic multitasking," Theoretical Economics, Econometric Society, vol. 14(3), July.
    2. Bahlali, Khaled & Elouaflin, Abouo & Pardoux, Etienne, 2017. "Averaging for BSDEs with null recurrent fast component. Application to homogenization in a non periodic media," Stochastic Processes and their Applications, Elsevier, vol. 127(4), pages 1321-1353.
    3. Pajor-Gyulai, Zs. & Salins, M., 2017. "On dynamical systems perturbed by a null-recurrent motion: The general case," Stochastic Processes and their Applications, Elsevier, vol. 127(6), pages 1960-1997.
    4. Marino, L. & Menozzi, S., 2023. "Weak well-posedness for a class of degenerate Lévy-driven SDEs with Hölder continuous coefficients," Stochastic Processes and their Applications, Elsevier, vol. 162(C), pages 106-170.

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