The solution of the perturbed Tanaka-equation is pathwise unique (Q373569): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
| Property / review text | |||
From the author's abstract: The Tanaka equation \( dX_t =\mathrm{sign}(X_t )dB_t\) is an example of a stochastic differential equation (SDE) without strong solution. Hence, pathwise uniqueness does not hold for this equation. In this note we prove that, if we modify the right-hand side of the equation, roughly speaking, with a strong enough additive noise, independent of the Brownian motion \(B\), then the solution of the obtained equation is pathwise unique. | |||
| Property / review text: From the author's abstract: The Tanaka equation \( dX_t =\mathrm{sign}(X_t )dB_t\) is an example of a stochastic differential equation (SDE) without strong solution. Hence, pathwise uniqueness does not hold for this equation. In this note we prove that, if we modify the right-hand side of the equation, roughly speaking, with a strong enough additive noise, independent of the Brownian motion \(B\), then the solution of the obtained equation is pathwise unique. / rank | |||
Normal rank | |||
| Property / reviewed by | |||
| Property / reviewed by: Nikolaos Halidias / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60H20 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60G44 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60J65 / rank | |||
Normal rank | |||
| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6216104 / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
stochastic differential equation | |||
| Property / zbMATH Keywords: stochastic differential equation / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
Tanaka-equation | |||
| Property / zbMATH Keywords: Tanaka-equation / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
pathwise uniqueness | |||
| Property / zbMATH Keywords: pathwise uniqueness / rank | |||
Normal rank | |||
Revision as of 10:03, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The solution of the perturbed Tanaka-equation is pathwise unique |
scientific article |
Statements
The solution of the perturbed Tanaka-equation is pathwise unique (English)
0 references
17 October 2013
0 references
From the author's abstract: The Tanaka equation \( dX_t =\mathrm{sign}(X_t )dB_t\) is an example of a stochastic differential equation (SDE) without strong solution. Hence, pathwise uniqueness does not hold for this equation. In this note we prove that, if we modify the right-hand side of the equation, roughly speaking, with a strong enough additive noise, independent of the Brownian motion \(B\), then the solution of the obtained equation is pathwise unique.
0 references
stochastic differential equation
0 references
Tanaka-equation
0 references
pathwise uniqueness
0 references
