The problem of the uniqueness of a martingale (Q1595704): Difference between revisions
From MaRDI portal
Created a new Item |
Set profile property. |
||
(3 intermediate revisions by 2 users not shown) | |||
Property / author | |||
Property / author: Nikolai S. Nadirashvili / rank | |||
Property / reviewed by | |||
Property / reviewed by: Yuliya S. Mishura / rank | |||
Property / author | |||
Property / author: Nikolai S. Nadirashvili / rank | |||
Normal rank | |||
Property / reviewed by | |||
Property / reviewed by: Yuliya S. Mishura / rank | |||
Normal rank | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
links / mardi / name | links / mardi / name | ||
Latest revision as of 06:03, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | The problem of the uniqueness of a martingale |
scientific article |
Statements
The problem of the uniqueness of a martingale (English)
0 references
13 February 2001
0 references
The author considers a martingale problem for uniformly elliptic operator \(L\) with measurable (not necessarily continuous) coefficients. The purpose of the paper is to demonstrate that in the general case, the solution of the martingale problem is not unique. In this connection, he considers the Dirichlet problem for the operator \(L\). According to Stroock and Varadhan, if the solution to the Dirichlet problem is not unique, then the solution of the corresponding martingale problem is not unique also. The main result is that in the unit ball \(B_1\subset\mathcal{R}^3\) there exist such operator \(L\) and such boundary condition that the solution of the corresponding Dirichlet problem is not unique.
0 references
martingale problem
0 references
elliptic operator
0 references
measurable coefficients
0 references
Dirichlet problem
0 references