A UNIQUENESS THEOREM FOR THE MARTINGALE PROBLEM DESCRIBING A DIFFUSION IN MEDIA WITH MEMBRANES

OLGA V. ARYASOVA AND MYKOLA I. PORTENKO
Theory of Stochastic Processes Vol. 14 (30), no. 2, 2008, pp. 1–9
We formulate a martingale problem that describes a diffusion process in a multidimensional Euclidean space with a membrane located on a given smooth surface and having the properties of skewing and delaying. The theorem on the existence of no more than one solution to the problem is proved.

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