Pathwise uniqueness for singular SDEs driven by stable processes (Q436052)

The author considers stochastic differential equations driven by a symmetric \(\alpha\)-stable Lévy process. More precisely, they are of the form \[ X^x_t=x+\int_0^tb(X^x_s)\mathrm{d}s + L_t, \quad x\in\mathbb{R}^d,\;t\geq 0. \] The Lévy measure is assumed to be symmetric non-degenerate and \(\alpha\)-stable of index \(\alpha\in[1,2)\). Singularity is used in the sense that the drift term \(b: \mathbb{R}^d \to \mathbb{R}^d\) is only required to be \(\beta\)-Hölder continuous for \(\beta>1-\alpha/2\). In this setting, pathwise uniqueness of solutions \((X_t^x)_{t\geq0}\) is established. Furthermore, it is shown that, for \(t\geq0\), the flow mapping \(x\mapsto X_t^x\) is almost surely a homeomorphism of \(\mathbb{R}^d\) onto itself and \(C^1\). The main step towards these result is to establish a sufficiently smooth and bounded solution \(u\in C^{1+\gamma}\), with \(\gamma\in[0,1]\), to the resolvent equation \[ \lambda u -\mathcal{L}u -Du\cdot b=b \] for some \(\lambda>0\), where \(\mathcal{L}\) denotes the generator of the \(\alpha\)-stable Lévy process. The result is then obtained by an application of Itô's formula and nice analytic properties of \(u\) in combination with known results for the Lipschitz case. However, since \(u\) is not necessarily in \(C^2\), the applicability of Itô's formula in this context has to be justified and the proof is sketched.