Uniqueness for some diffusions with discontinuous coefficients

DOI10.1214/AOP/1176990439MaRDI QIDQ1176148zbMATH OpenOpenAlexFDO

Authors L. Escauriaza, Eugene B. Fabes, M. Cristina Cerutti

Publication date 25 June 1992

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176990439

zbMATH Keywords

Dirichlet problemPoisson equationuniqueness of the martingale problem

Mathematics Subject Classification ID

Oscillation, zeros of solutions, mean value theorems, etc. in context of PDEs (35B05) Periodic solutions to PDEs (35B10) A priori estimates in context of PDEs (35B45) Elliptic equations and elliptic systems (35J99) General second-order stochastic processes (60G12) Gaussian processes (60G15) Martingales and classical analysis (60G46) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Transition functions, generators and resolvents (60J35)

Review text

The authors show the uniqueness of the martingale problem for a second order operator \(L\) where \(A\) is the matrix of its coefficients under the assumption that \(A\) is bounded, symmetric, uniformly positive definite and continuous on \(\mathbb{R}^ n\) except a countable set with at most one cluster point. In the case that \(A\) is continuous the result was established by Stroock and Varadhan and for some piecewise constant \(A\) by \textit{R. F. Bass} and \textit{E. Pardoux} [Probab. Theory Relat. Fields 76, 557-572 (1987; Zbl 0617.60075)]. The proof is based on the ideas of Bass and Pardoux, the key result being the uniqueness of a Dirichlet problem for the Poisson equation \(Lu=-f\), considered in the first part of the paper.

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