An example of a stochastic differential equation with the property of weak non-uniqueness of a solution

Домашня сторінка
→
Фізико-технічні та математичні науки
→
Відділення математики
→
Theory of Stochastic Processes
→
Theory of Stochastic Processes, 2006 (Volume 12 (28))
→
Theory of Stochastic Processes, 2006, № 1-2
→
Переглянути статтю

An example of a stochastic differential equation with the property of weak non-uniqueness of a solution

УДК: 519.21

URI: http://dspace.nbuv.gov.ua/handle/123456789/4442

Посилання: 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.

Підтримка: This article was supported (in part) by the Ministry of Education and Science of Ukraine, project No. 01.07/103.

Дата: 2006

Завантажень: 715

An example of a stochastic differential equation with the property of weak non-uniqueness of a solution

Анотація:

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.

Показати повний запис статті