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.
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| Datum: | 2006 |
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| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | English |
| Veröffentlicht: |
Інститут математики НАН України
2006
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| Online Zugang: | http://dspace.nbuv.gov.ua/handle/123456789/4442 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Zitieren: | 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. |
Institution
Digital Library of Periodicals of National Academy of Sciences of Ukraine| Zusammenfassung: | 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. |
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