Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions (Q297469)

The paper deals with with one-dimensional stochastic integral equations (SIEs, for short) with non-smooth dispersion coefficients and with generalized drift. The authors study SIEs of the form \[ \qquad X(\cdot) = x_0 +\int_0^. s(X(t))[\mathrm{d}W(t)+\mathrm{d}\mathcal{B}(t,W,X)]-\int_\mathcal{I} L^{X}(\cdot,\xi)s(\xi)\mathrm{d}\frac{1}{s(\xi)} \tag{1} \] on the probability space \((\Omega,\mathcal{F},(\mathcal{F}_t)_{t\geq 0},\mathbb{P})\), for semimartingale measure \(\mathbb{P}\) and for some local time \(L^{X}(\cdot,\cdot)\). In (1), \(s(\cdot)\) is a measurable function, \(\log s(\cdot)\) is left-continuous and of finite first variation on compact subsets of \(\mathcal{I}\), the process \(X(\cdot)\) represents the ``output'' and the process \(W( \cdot)\) the ``input'' of the system described by (1). The mapping \(\mathcal{B}\) is a real-valued progressively measurable mapping. In the paper, the relations of solutions of the equations like (1) to solutions of certain ordinary integral equations (OIEs, for short) are given. In order to do this the authors extend the pathwise approach presented by J. Lamperti (1964), H. Doss (1977) and H. J. Sussmann (1978). The relations between solutions of SIEs and solutions of OIEs allow the authors to solve SIEs in a pathwise sense. The paper is organized as follows. Section 2 has an introductory character and the setting of the problem considered in the paper is given. Here we can find notation used in the paper and definitions of solvability of SIEs studied in the paper. In Section 3, the pathwise solvability of SIE (1) is considered. The main result of this section and of the whole paper is formulated in Theorem~3.2. This result supplies two implications which link SIE (1) to a family of related OIEs. Corollary 3.7 formulates some particular case of the main result. In Section 4, some particular examples of the Equation (1) are considered. For one of them, Theorem 4.4, analogous to Theorem 3.2, is formulated. In Section 5, the authors give a comparison result in the spirit of the monograph due to N. Ikeda and S. Watanabe (1989). Section 6 deals with some conditions giving continuity of the input-output map in the sense of E. Wang and M. Zakai (1965) for the equations considered. The main results of this section are formulated in Theorems 6.1 and Corollaries 6.2 and 6.3. The paper finishes with an appendix containing a discussion about some aspects of the regularization of OIEs and a rich set of references containing 74 items. The paper is clearly written and the proofs of theorems are given in detail. It seems to be interesting for many people working in stochastic analysis, stochastic differential equations and their applications.