A selection procedure for extracting the unique Feller weak solution of degenerate diffusions

DOI10.1007/S00245-022-09961-1MaRDI QIDQ2694475zbMATH OpenOpenAlexFDO

Authors Sumith Reddy Anugu, Vivek Borkar

Publication date 3 April 2023

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2202.13382

zbMATH Keywords

backward Kolmogorov equationdegenerate diffusionsFeller solutionMarkov selectionnon-uniqueness of weak solutionsmall noise limituniqueness of continuous viscosity solutions

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Viscosity solutions to PDEs (35D40) Degenerate parabolic equations (35K65) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuous-time Markov processes on general state spaces (60J25)

Recommendations

• A new Markov selection procedure for degenerate diffusions
• Feller's One-Dimensional Diffusions as Weak Solutions to Stochastic Differential Equations
• scientific article; zbMATH DE number 5926564
• Weak uniqueness of Fokker-Planck equations with degenerate and bounded coefficients
• Viscosity methods giving uniqueness for martingale problems

Cites work

• A new Markov selection procedure for degenerate diffusions
• A singular large deviations phenomenon
• Approximation of ordinary differential equations by stochastic differential equations
• Controlled Markov processes and viscosity solutions
• Ergodic theory of chaos and strange attractors
• scientific article; zbMATH DE number 3664138 (Why is no real title available?)
• scientific article; zbMATH DE number 3567644 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• On limiting values of stochastic differential equations with small noise intensity tending to zero
• ON SMALL RANDOM PERTURBATIONS OF SOME SMOOTH DYNAMICAL SYSTEMS
• ON THE SELECTION OF A MARKOV PROCESS FROM A SYSTEM OF PROCESSES AND THE CONSTRUCTION OF QUASI-DIFFUSION PROCESSES
• On the uniqueness and existence of solutions of fully nonlinear parabolic PDEs under the Osgood type condition
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
• Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
• Peano phenomenon and large deviations
• Random perturbation of PDEs and fluid dynamic models. École d'Été de Probabilités de Saint-Flour XL -- 2010
• Small random perturbations of peano phenomena
• The Peano phenomenon for Itō equations
• The transition point in the zero noise limit for a 1D Peano example
• User’s guide to viscosity solutions of second order partial differential equations

Cited in

(3)

• A new Markov selection procedure for degenerate diffusions
• A selection procedure for extracting the unique Feller weak solution of degenerate diffusions
• Controlled martingale problems and their Markov mimics

This page was built for publication: A selection procedure for extracting the unique Feller weak solution of degenerate diffusions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2694475)