On the uniqueness of solutions of stochastic differential equations with singular drifts (Q578743)

From MaRDI portal

!

This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:

scientific article; zbMATH DE number 4013673
Language Label Description Also known as
default for all languages
No label defined
    English
    On the uniqueness of solutions of stochastic differential equations with singular drifts
    scientific article; zbMATH DE number 4013673

      Statements

      On the uniqueness of solutions of stochastic differential equations with singular drifts (English)
      0 references
      0 references
      1986
      0 references
      The author considers the stochastic differential equation \[ (1)\quad dx^ i(t)=\sum^{d}_{j=1}a^ i_ j(X(t))dB^ j(t)+b^ i(X(t))dt+ \] \[ \sum^{d}_{j=1}\tau^ i_ j(X(t))dM^ j(t)+B^ i(X(t))dL^ u_ t(X^ d),\quad i=1,...,d. \] Here a,\(\tau\) : \({\mathbb{R}}^ d\to {\mathbb{R}}^ d\otimes {\mathbb{R}}^ d\), b,\(\beta\) : \({\mathbb{R}}^ d\to {\mathbb{R}}^ d\) are bounded measurable functions and \(\mu\) (d\(\eta)\) is a nonnegative bounded measure on \({\mathbb{R}}^ 1\). A solution of (1) is a system of stochastic processes \(X(t)=(X^ 1(t),...,X^ d(t))\), \(B(t)=(B^ 1(t),...,B^ d(t))\), \(M(t)=(M^ 1(t),...,M^ d(t))\) defined on a filtered probability space (\(\Omega\),\({\mathcal F},P,{\mathcal F}_ t)\) such that (i) X(t) is a system of \({\mathcal F}_ t\)-semimartingales, (ii) [B(t),M(t)] is a system of \({\mathcal F}_ t\)-martingales with \(B(0)=M(0)=0\) such that \(<B^ i,B^ j>(t)=\delta^ i_ jt\), \(<B^ i,M^ j>(t)=0\) and \(<M^ i,M^ j>(t)=\delta^ i_ jL_ t^{\mu}(X^ d),\) (iii) with probability one \(X^ i(t)=X^ i(0)+\sum^{d}_{j=1}\int^{t}_{0}a^ i_ j(X(s))dB^ j(x)+\int^{t}_{0}b^ i(X(s))ds+\sum^{d}_{j=1}\int^{t}_{0}\tau^ i_ j(X(s))dM^ j(s)+\int^{t}_{0}\beta^ i(X(s))dL_ s^{\mu}(X^ d)\), \(i=1,...,d\), where \([L_ i^{\eta}(X^ d)\); \(t\geq 0\), \(\eta \in {\mathbb{R}}^ 1]\) denotes the local time of a continuous \({\mathcal F}_ t\)- semimartingale \(X^ d(t)\) and \(L_ t^{\mu}(X^ d)=\int^{+\infty}_{-\infty}L_ t^{\eta}(X^ d)\mu (d\eta).\) The existence of solutions of (1) is established when \(\mu\) belongs to a certain class of discrete measures, for example \(\mu =\delta_ 0\). If the coefficients are in addition Lipschitz continuous the solution is shown to be unique in law.
      0 references
      local time
      0 references
      semimartingale
      0 references
      existence of solutions
      0 references
      unique in law
      0 references

      Identifiers

      0 references
      0 references
      0 references
      0 references
      0 references
      0 references