Pathwise uniqueness for a SDE with non-Lipschitz coefficients. (Q1766058): Difference between revisions

Let \(B\subseteq \mathbb R^ {n}\) be the closed unit ball, \(W\) a standard \(n\)-dimensional Wiener process. The stochastic differential equation \[ dX = -cX\,dt + \{2(1-\| X\| ^ 2)\}^ {1/2} \,dW\tag{1} \] is studied. From a well-known result by \textit{T.\ Yamada} and \textit{S.\ Watanabe} [J.\ Math.\ Kyoto Univ.\ 11, 155--167 (1971; Zbl 0236.60037)] it follows that pathwise uniqueness holds for (1) provided that \(n=1\); much less has been known about the behaviour of solutions to (1) for \(n\geq 2\). The main results of the paper imply that if \(c\geq 1\), then the solutions to (1) are pathwise unique for all \(n\geq 1\).