A stochastic differential equation with a sticky point

作者：Bass Richard F^*

来源：Electronic Journal of Probability, 2014, 19(0): 1-22.

DOI：10.1214/EJP.v19-2350

• stochastic differential equations
• sticky point
• pathwise uniqueness
• strong solution
• speed measure

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.

• 出版日期2014-3-14