On explicit solutions to stochastic differential equations (Q4495501)

The authors consider existence of explicit non-exploding strong solutions to the scalar Itô equation \[ x_t=x+\int_0^t b(x_s) ds+\int_0^t \sigma(x_s) dW_s \] with the drift \(b(\cdot)\in \mathcal C^1(\mathbb R)\) and the dispersion \(\sigma(\cdot)\in \mathcal C^2(\mathbb R)\) satisfying usual Lipschitz condition. The explicit solution has the form \(x_t=\varphi(x,t,\int_0^t f(s) dW_s)\), where \(f(\cdot)\) is a real-valued continuous function, \(\varphi\) and \(f\) satisfy a system of partial differential equations. For a given dispersion coefficient \(\sigma(\cdot)\), the class of drift coefficients \(b(\cdot)\) for which such an explicit solution exists, is described. Examples illustrating how to find suitable drift \(b(\cdot)\) are provided. The corresponding explicit solution \(x_t\) for any given dispersion \(\sigma(\cdot)\) is also supplied.