Well-posedness for a class of degenerate Itô-SDEs with fully discontinuous coefficients

preprint2019arXivOpen access

Abstract

We show uniqueness in law for a general class of stochastic differential equations in Rd\mathbb{R}^d, d≥2d\ge 2, 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 dd-dimensional Lebesgue-Borel measure zero. Weak existence is obtained for more general, not necessarily locally bounded drift coefficient.

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