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2014 A stochastic differential equation with a sticky point
Richard Bass
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Electron. J. Probab. 19: 1-22 (2014). DOI: 10.1214/EJP.v19-2350

Abstract

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.

Citation

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Richard Bass. "A stochastic differential equation with a sticky point." Electron. J. Probab. 19 1 - 22, 2014. https://doi.org/10.1214/EJP.v19-2350

Information

Accepted: 14 March 2014; Published: 2014
First available in Project Euclid: 4 June 2016

zbMATH: 1291.60113
MathSciNet: MR3183576
Digital Object Identifier: 10.1214/EJP.v19-2350

Subjects:
Primary: 60H10
Secondary: 60J60

JOURNAL ARTICLE
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Vol.19 • 2014
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