%AMcEneaney, William%AKaise, Hidehiro%ADower, Peter%AZhao, Ruobing.%BJournal Name: 21st IFAC World Congress
%D2020%I
%JJournal Name: 21st IFAC World Congress
%K
%MOSTI ID: 10171205
%PMedium: X; Size: 1-6
%TStrong Solution Existence for a Class of Degenerate Stochastic Differential Equations
%XExistence and uniqueness results for stochastic differential equations (SDEs) under exceptionally weak conditions are well known in the case where the diffusion coefficient is nondegenerate. Here, existence and uniqueness of a strong solution is obtained in the case of degenerate SDEs in a class that is motivated by diffusion representations for solution of SchrÃ¶dinger initial value problems. In such examples, the dimension of the range of the diffusion coefficient is exactly half that of the state. In addition to the degeneracy, two types of discontinuities and singularities in the drift are allowed, where these are motivated by the structure of the Coulomb potential and the resulting solutions to the dequantized SchrÃ¶dinger equation. The first type consists of discontinuities that may occur on a possibly high-dimensional manifold (up to codimension one). The second consists of singularities that may occur on a lower-dimensional manifold (up to codimension two).
%0Journal Article
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