A stochastic differential equation with a sticky point

Richard Bass (University of Connecticut)

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.

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Pages: 1-22

Publication Date: March 14, 2014

DOI: 10.1214/EJP.v19-2350

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