Abstract
The contents of this chapter are based on the work of Watanabe and Yamada [1971]. What we will be trying to do is give a careful comparison of the notion of uniqueness natural to the martingale problem as opposed to the notion of uniqueness inherent in Itô’s method. We have already seen indications that there is a distinction between these two notions (cf. Exercise 5.4.2) and that the distinction is intimately connected with questions of measurability of the path x(·) with respect to β(·) in the stochastic integral equation
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2006 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
Stroock, D.W., Varadhan, S.R.S. (2006). Itô’s Uniqueness and Uniqueness to the Martingale Problem. In: Multidimensional Diffusion Processes. Classics in Mathematics / Grundlehren der mathematischen Wissenschaften. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-28999-2_9
Download citation
DOI: https://doi.org/10.1007/3-540-28999-2_9
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-662-22201-0
Online ISBN: 978-3-540-28999-9
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)