Well-posedness for a class of degenerate It\^o-SDEs with fully discontinuous coefficients

DOI10.3390/SYM12040570arXiv1909.09430MaRDI QIDQ6325684FDOQ6325684

Hae Sung Lee, Gerald Trutnau

Publication date: 20 September 2019

Abstract: We show uniqueness in law for a general class of stochastic differential equations in $mathbb{R}^d$, $dge2$, with possibly degenerate and/or fully discontinuous locally bounded coefficients among all weak solutions that spend zero time at the points of degeneracy of the dispersion matrix. The points of degeneracy have $d$-dimensional Lebesgue-Borel measure zero. Weak existence is obtained for more general, not necessarily locally bounded drift coefficient.

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