A stochastic differential equation with a sticky point

Autor:	Bass, Richard F.
Rok vydání:	2012
Předmět:	Mathematics - Probability 60H10
Druh dokumentu:	Working Paper
Popis:	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.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1210.1075 Zobrazit plný text záznamu View this record from Arxiv