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

• Date: 2006
• Main Authors: Kopytko, B.I., Portenko, M.I.
• Format: Article
• Language: English
• Published: Інститут математики НАН України 2006
• Online Access: https://nasplib.isofts.kiev.ua/handle/123456789/4442
• Journal Title: Digital Library of Periodicals of National Academy of Sciences of Ukraine
• Cite this: 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.