Journal of the London Mathematical Society · 1982 · 81 citations · 0 references
EngineeringMathematicsDifferential EquationsProbability TheoryStochastic ProcessesBrownian MotionContinuous-time Stochastic ProcessesDiffusion ProcessesStochastic CalculusStochastic Differential EquationsStochastic Differential SystemsStrong SolutionsWeak Solutions
Examples are given of continuous functions σ: R→R, with O < δ σ <(x) < K, for which the stochastic differential equation dXt = σ (Xt) dBt has no strong solution.