Uniqueness for some diffusions with discontinuous coefficients (Q1176148): Difference between revisions

The authors show the uniqueness of the martingale problem for a second order operator \(L\) where \(A\) is the matrix of its coefficients under the assumption that \(A\) is bounded, symmetric, uniformly positive definite and continuous on \(\mathbb{R}^ n\) except a countable set with at most one cluster point. In the case that \(A\) is continuous the result was established by Stroock and Varadhan and for some piecewise constant \(A\) by \textit{R. F. Bass} and \textit{E. Pardoux} [Probab. Theory Relat. Fields 76, 557-572 (1987; Zbl 0617.60075)]. The proof is based on the ideas of Bass and Pardoux, the key result being the uniqueness of a Dirichlet problem for the Poisson equation \(Lu=-f\), considered in the first part of the paper.