Uniqueness for diffusions with piecewise constant coefficients |
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| Authors: | R. F. Bass E. Pardoux |
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| Affiliation: | (1) Department of Mathematics, University of Washington, 98195 Seattle, WA, USA;(2) U.E.R. de Mathématiques, Université de Provence, 3 Place Victor Hugo, F-13331 Marseille Cedex 3, France |
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| Abstract: | Summary LetL be a second-order partial differential operator inRd. LetRd be the finite union of disjoint polyhedra. Suppose that the diffusion matrix is everywhere non singular and constant on each polyhedron, and that the drift coefficient is bounded and measurable. We show that the martingale problem associated withL is well-posed.The research of this author was partly supported by NSF Grant DMS 8500581 |
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