On weak and strong solutions of an integral equation driven by a continuous \(p\)-semimartingale (Q1881785)

Let \((\Omega,{\mathcal F},\mathbb{F},P)\), \(\mathbb{F}=\{{\mathcal F}_t\), \(t \geq 0 \}\), be a filtered probability space. Consider the stochastic integral equation (SIE) \[ X_t=\xi+\int_0^t f(X_s) \, dM_s + \int_0^t g(X_s)\, dA_s, \quad t \geq 0, \tag{1} \] where \(M\) is a continuous \(\mathbb{F}\)-local martingale, \(A\) is a continuous process of locally bounded \(p\)-variation, \( 1 \leq p <2,\) i.e. for any fixed \(T>0\), the process \(A=\{A_t, 0 \leq t \leq T \}\) has finite \(p\)-variation. The main results follow: Theorem. Let \(0 < \alpha < 1, q>2\) and \(1<p<2\) be such that \(\frac{\alpha}{q}+\frac{1}{p} >1.\) Let \(f\) be a continuous function such that \(| f(x)| \leq L(1+| x| ),\) and let \(g\) be a Hölder continuous function with exponent \(\alpha, 0<\alpha<1.\) Then there exisits at least one weak solution of equation (1). Theorem. Let \(0 < \alpha < 1, q>2\) and \(1<p <2\) be such that \(\frac{\alpha}{q}+\frac{1}{p} >1.\) Let \(f\) be a Lipschitz-continuous function and let \(g \in C^{1+\alpha} (\mathbb{R}).\) Then there exists a unique strong solution-measure of equation (1).