AN EXAMPLE OF A STOCHASTIC DIFFERENTIAL EQUATION WITH THE PROPERTY OF WEAK NON-UNIQUENESS OF A SOLUTION
BOGDAN I. KOPYTKO AND MYKOLA I. PORTENKOTheory of Stochastic Processes Vol. 12 (28), no. 1–2, 2006, pp. 68–76
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.
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