A stochastic differential equation with a sticky point

Richard Bass

doi:10.1214/EJP.v19-2350

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Home > Journals > Electron. J. Probab. > Volume 19 > Article

2014 A stochastic differential equation with a sticky point

Richard Bass

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Richard Bass¹
¹University of Connecticut

Electron. J. Probab. 19: 1-22 (2014). DOI: 10.1214/EJP.v19-2350

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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.