Uniqueness for diffusions degenerating at the boundary of a smooth bounded set

DOI10.1214/009117904000000810zbMath1071.60043arXivmath/0503590OpenAlexW2070213368MaRDI QIDQ1769510

Dante de Blassie

Publication date: 21 March 2005

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0503590

zbMATH Keywords

degenerate stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Related Items (5)

Polynomial diffusions on compact quadric sets ⋮ Reactive trajectories and the transition path process ⋮ Strong uniqueness for a class of singular SDEs for catalytic branching diffusions ⋮ Projections of spherical Brownian motion ⋮ Semi-implicit Euler-Maruyama scheme for polynomial diffusions on the unit ball

Cites Work

• Explicit semimartingale representation of Brownian motion in a wedge
• Pathwise uniqueness for a SDE with non-Lipschitz coefficients.
• Degenerate stochastic differential equations and super-Markov chains
• Degenerate stochastic differential equations with Hölder continuous coefficients and super-Markov chains
• Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part III)
• Diffusion processes with boundary conditions
• A 2-dimensional SDE whose solutions are not unique
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