An example of a stochastic differential equation with the property of weak non-uniqueness of a solution
A family of one-dimensional diffusion processes is constructed such that each one of this family is a weak solution to some stochastic differential equation. It turns out that the property of weak uniqueness of a solution to this equation is failed.
Saved in:
| Date: | 2006 |
|---|---|
| Main Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
Інститут математики НАН України
2006
|
| Online Access: | http://dspace.nbuv.gov.ua/handle/123456789/4442 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | An example of a stochastic differential equation with the property of weak non-uniqueness of a solution / B.I. Kopytko, M.I. Portenko // Theory of Stochastic Processes. — 2006. — Т. 12 (28), № 1-2. — С. 68–76. — Бібліогр.: 13 назв.— англ. |