The solution of the perturbed Tanaka-equation is pathwise unique (Q373569)
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scientific article
| Language | Label | Description | Also known as |
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| English | The solution of the perturbed Tanaka-equation is pathwise unique |
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The solution of the perturbed Tanaka-equation is pathwise unique (English)
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17 October 2013
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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.
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stochastic differential equation
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Tanaka-equation
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pathwise uniqueness
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