Uniqueness for diffusions with piecewise constant coefficients
From MaRDI portal
Let L be a second-order partial differential operator in \({\mathbb{R}}^ d\). Let \({\mathbb{R}}^ d\) be the finite union of disjoint polyhedrons. Suppose that the diffusion matrix is everywhere non singular and constant on each polyhedron, and that the drift coefficient is bounded and measurable. We show that the martingale problem associated with L is well-posed.
Recommendations
Cites work
- An Inequality in the Theory of Stochastic Integrals
- Brownian motion in a wedge with oblique reflection
- Brownian Motion With Polar Drift
- scientific article; zbMATH DE number 4061128 (Why is no real title available?)
- scientific article; zbMATH DE number 3664138 (Why is no real title available?)
- scientific article; zbMATH DE number 3720117 (Why is no real title available?)
- scientific article; zbMATH DE number 3780265 (Why is no real title available?)
- scientific article; zbMATH DE number 3583004 (Why is no real title available?)
- scientific article; zbMATH DE number 3272022 (Why is no real title available?)
Cited in
(75)- Approximate nonlinear filtering for piecewise linear systems
- Uniqueness for some diffusions with discontinuous coefficients
- Lifetimes of conditioned diffusions
- The submartingale problem for Brownian motion in a cone with non-constant oblique reflection
- Existence and uniqueness of semimartingale reflecting Brownian motions in an orthant
- Uniqueness for isotropic diffusions with a linear drift
- The adjoint process of killed reflected Brownian motion in a cone and applications
- Matrix-analytic solution of infinite, finite and level-dependent second-order fluid models
- Infinite systems of competing Brownian particles
- Backward stochastic differential equations with rank-based data
- SPDE limit of the global fluctuations in rank-based models
- Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients
- Uniqueness of Nelson's diffusions. II: Infinite dimensional setting and applications
- Probabilistic approximation for a porous medium equation.
- On averaging principle for diffusion processes with null-recurrent fast component.
- Piecewise linear filtering with small observation noise
- Uniqueness in law for a class of degenerate diffusions with continuous covariance
- Planar diffusions with rank-based characteristics and perturbed Tanaka equations
- Convergence rates for rank-based models with applications to portfolio theory
- Strong solutions of stochastic equations with rank-based coefficients
- Reflected backward stochastic differential equation with rank-based data
- Degenerate competing three-particle systems
- Domains of attraction of invariant distributions of the infinite atlas model
- Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations
- Dynamics of observables in rank-based models and performance of functionally generated portfolios
- The infinite Atlas process: convergence to equilibrium
- Large rank-based models with common noise
- Multidimensional sticky Brownian motions as limits of exclusion processes
- Capital distribution and portfolio performance in the mean-field Atlas model
- On dynamical systems perturbed by a null-recurrent motion: the general case
- Reflected Brownian motion in a convex polyhedral cone: tail estimates for the stationary distribution
- Periodic homogenization with an interface: the multi-dimensional case
- Diffusions with rank-based characteristics and values in the nonnegative quadrant
- On weak uniqueness for some diffusions with discontinuous coefficients
- Atlas models of equity markets
- On weak uniqueness for some degenerate SDEs by global \(L^p\) estimates
- A class of stochastic differential equations with pathwise unique solutions
- A note on transportation cost inequalities for diffusions with reflections
- Permutation-weighted portfolios and the efficiency of commodity futures markets
- Uniqueness properties of diffusion processes
- Large deviations for diffusions interacting through their ranks
- Diverse market models of competing Brownian particles with splits and mergers
- A uniqueness theorem for the martingale problem describing a diffusion in media with membranes
- Propagation of chaos for rank-based interacting diffusions and long time behaviour of a scalar quasilinear parabolic equation
- scientific article; zbMATH DE number 1185133 (Why is no real title available?)
- Reflected Brownian Motion in a Cone with Radially Homogeneous Reflection Field
- scientific article; zbMATH DE number 39543 (Why is no real title available?)
- Large systems of diffusions interacting through their ranks
- scientific article; zbMATH DE number 503433 (Why is no real title available?)
- scientific article; zbMATH DE number 1140123 (Why is no real title available?)
- Two-sided infinite systems of competing Brownian particles
- Long time behaviour and mean-field limit of Atlas models
- On the impossibility of \(W_p^2\) estimates for elliptic equations with piecewise constant coefficients
- The Dirichlet Problem for Radially Homogeneous Elliptic Operators
- Zipf's law for Atlas models
- Hybrid Atlas models
- Option pricing with threshold diffusion processes
- Probabilistic Approximation of a Nonlinear Parabolic Equation Occurring in Rheology
- PORTFOLIO INSURANCE AND VOLATILITY REGIME SWITCHING
- Second order parabolic equations and weak uniqueness of diffusions with discontinuous coefficients
- Modified trajectory fitting estimators for multi-regime threshold Ornstein-Uhlenbeck processes
- Competing particle systems evolving by interacting Lévy processes
- Testing for Threshold Diffusion
- A reverse ergodic theorem for inhomogeneous killed Markov chains and application to a new uniqueness result for reflecting diffusions
- Extremal invariant distributions of infinite Brownian particle systems with rank dependent drifts
- Determining the number and values of thresholds for multi-regime threshold Ornstein-Uhlenbeck processes
- A general framework to simulate diffusions with discontinuous coefficients and local times
- Long-time behavior of finite and infinite dimensional reflected Brownian motions
- From rank-based models with common noise to pathwise entropy solutions of SPDEs
- Macroscopic properties of equity markets: stylized facts and portfolio performance
- Pointwise well-posedness results for degenerate Itô-SDEs with locally bounded drifts
- On pathwise uniqueness for Brownian motion in a quadrant with oblique reflection
- Space-grid approximations of hybrid stochastic differential equations and first-passage properties
- Stochastic Volterra integral equations with ranks as scaling limits of parallel infinite-server queues under weighted shortest queue policy
- On collisions of Brownian particles
This page was built for publication: Uniqueness for diffusions with piecewise constant coefficients
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1822141)
