An example of a stochastic differential equation with the property of weak non-uniqueness of a solution

• Дата: 2006
• Автори: Kopytko, B.I., Portenko, M.I.
• Формат: Стаття
• Мова: English
• Опубліковано: Інститут математики НАН України 2006
• Онлайн доступ: http://dspace.nbuv.gov.ua/handle/123456789/4442
• Назва журналу: Digital Library of Periodicals of National Academy of Sciences of Ukraine
• Цитувати: An example of a stochastic differential equation with the property of weak non-uniqueness of a solution / B.I. Kopytko, M.I. Portenko // Theory of Stochastic Processes. — 2006. — Т. 12 (28), № 1-2. — С. 68–76. — Бібліогр.: 13 назв.— англ.

A family of one-dimensional diffusion processes is constructed such that each one of this family is a weak solution to some stochastic differential equation. It turns out that the property of weak uniqueness of a solution to this equation is failed.