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scientific article; zbMATH DE number 1210647
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scientific article; zbMATH DE number 1210647 |
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20 June 1999
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strong solution
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measure solution
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boundary problem
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stochastic differential equation
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0.92419046
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0.8806561
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0.8785773
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0.87836146
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0.8762808
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0.8732063
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Let \[ d\xi_t= aI_{[\xi_t=0]} dt+I_{[\xi_t>0]} dW_t,\quad \xi_0= X_0\geq 0,\tag{1} \] be a stochastic differential equation, where \(W\) is a Wiener process and \(0\leq a\leq\infty\). It is more convenient to represent (1) as a boundary problem with the rate of departure from the boundary. For the extremal cases \(a=0\) and \(a=\infty\) this problem admits strong solutions. In the present paper the intermediate case \((0<a<\infty)\) is considered. It is shown that in this case the equation (1) admits a unique solution measure, but does not admit a strong solution.
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