On solutions of stochastic differential equations with drift (Q1122220): Difference between revisions

We study stochastic differential equations of the form \(dX_ t=\sigma (X_ t)dM_ t+b(X_ t)d<M>_ t\), where M is a continuous local martingale and \(<M>\) stands for its quadratic variation process. The conditions introduced by \textit{H. J. Engelbert} and \textit{W. Schmidt} [see, Z. Wahrscheinlichkeitstheor. Verw. Geb. 68, 287-314 (1985; Zbl 0535.60049); Lect. Notes Control Inf. Sci. 69, 143-155 (1985; Zbl 0583.60052)], which ensure the existence and uniqueness in law of solutions of SDE's driven by the Wiener process without drift (or with generalized drift), are shown to be no longer valid.