ONE CLASS OF MULTIDIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS HAVING NO PROPERTY OF WEAK UNIQUENESS OF A SOLUTION

OLGA V. ARYASOVA AND MYKOLA I. PORTENKO

Theory of Stochastic Processes Vol. 11 (27), no. 3–4, 2005, pp. 14–28

A class of stochastic differential equations in a multidimensional Euclidean space such that the property of a solution to be unique (in a weak sense) fails for it is considered. We present the correct formulation of the corresponding martingale problem and prove the uniqueness of its solution.

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