Wednesday, August 17, 2022 - 14:15 in V3-201 + Zoom
Well-Posedness for a Class of Degenerate Itô Stochastic Differential Equations with Fully Discontinuous Coefficients
A talk in the Bielefeld Stochastic Afternoon series by
Gerald Trutnau
| Abstract: |
We show uniqueness in law for a general class of stochastic differential equations in $\mathbb{R}^d$, $d\ge 2$, with possibly degenerate and/or fully discontinuous locally bounded coefficients among all weak solutions that spend zero time at the points of degeneracy of the dispersion matrix. Points of degeneracy have a $d$-dimensional Lebesgue measure zero. Weak existence is obtained for a more general, but not necessarily locally bounded drift coefficient. This is joint work with Haesung Lee.
Within the CRC this talk is associated to the project(s): A5, B1 |
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