A uniqueness theorem for the martingale problem describing a diffusion in media with membranes

Details A uniqueness theorem for the martingale problem describing a diffusion in media with membranes A uniqueness theorem for the martingale problem describing a diffusion in media with membranes

2009-04-27

arxiv.org/abs/0904.4223v1

Theory of Stochastic Processes. 2008. V. 14(30), N2. P. 1- 9

Mathematics

Probability

Scientific paper

We formulate a martingale problem that describes a diffusion process in a
multidimensional Euclidean space with a membrane located on a given smooth
surface and having the properties of skewing and delaying. The theorem on the
existence of no more than one solution to the problem is proved.

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