Well-posedness for a class of degenerate Itô-SDEs with fully discontinuous coefficients

Abstract

We show uniqueness in law for a general class of stochastic differential equations in ${\mathbb{R}}^d$, $d\ge 2$, with possibly degenerate and/or fully discontinuous locally bounded coefficients among all weak solutions that spend zero time at the points of degeneracy of the dispersion matrix. The points of degeneracy have $d$-dimensional Lebesgue-Borel measure zero. Weak existence is obtained for more general, not necessarily locally bounded drift coefficient.

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