On uniqueness of solutions to stochastic equations: A counter-example

DOI10.1214/AOP/1029867120zbMath1029.60045OpenAlexW2045342299MaRDI QIDQ1872286

Hans-Jürgen Engelbert

Publication date: 6 May 2003

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1029867120

zbMATH Keywords

stochastic differential equationcontinuous martingalemartingale representationuniqueness of solutions to stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Martingales with continuous parameter (60G44) Multiplicative functionals and Markov processes (60J57)

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