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Uniqueness for diffusions with piecewise constant coefficients
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  • Published: December 1987

Uniqueness for diffusions with piecewise constant coefficients

  • R. F. Bass1 &
  • E. Pardoux2 

Probability Theory and Related Fields volume 76, pages 557–572 (1987)Cite this article

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  • 75 Citations

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Summary

LetL be a second-order partial differential operator inR d. LetR d 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.

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Author information

Authors and Affiliations

  1. Department of Mathematics, University of Washington, 98195, Seattle, WA, USA

    R. F. Bass

  2. U.E.R. de Mathématiques, Université de Provence, 3 Place Victor Hugo, F-13331, Marseille Cedex 3, France

    E. Pardoux

Authors
  1. R. F. Bass
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  2. E. Pardoux
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Additional information

The research of this author was partly supported by NSF Grant DMS 8500581

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Cite this article

Bass, R.F., Pardoux, E. Uniqueness for diffusions with piecewise constant coefficients. Probab. Th. Rel. Fields 76, 557–572 (1987). https://doi.org/10.1007/BF00960074

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  • Received: 06 June 1986

  • Issue Date: December 1987

  • DOI: https://doi.org/10.1007/BF00960074

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Keywords

  • Stochastic Process
  • Probability Theory
  • Differential Operator
  • Mathematical Biology
  • Constant Coefficient
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