Existence and non-existence of solutions of one-dimensional stochastic equations (Q2772057)

The following one-dimensional stochastic equation NEWLINE\[NEWLINE X_t=x_0+\int_0^t b(X_s) d \langle M \rangle_s +\int_0^t \sigma(X_s) d M_s NEWLINE\]NEWLINE for a continuous local martingale \(M\) with square variation \(\langle M \rangle\) and measurable drift diffusion coefficients \(b\) and \(\sigma\) is considered. The main purpose of the paper is the derivation of a necessary condition for the existence of a weak solution \(X\) starting from \(x_0\). The main result of the paper is the construction of a diffusion coefficient \(\sigma\) such that the above stochastic equation has no weak solution \(X\) whatever the initial value \(x_0\) and the non-zero continuous drift coefficient \(b\) might be.