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arXiv · 1210.1075

A stochastic differential equation with a sticky point

Richard F. Bass
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Abstract

We consider a degenerate stochastic differential equation that has a sticky point in the Markov process sense. We prove that weak existence and weak uniqueness hold, but that pathwise uniqueness does not hold nor does a strong solution exist.

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Richard F. Bass. 2012-10-03. A stochastic differential equation with a sticky point. https://arxiv.org/abs/1210.1075

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