Existence theorems for solutions of stochastic differential equations with discontinuous right-hand sides (Q5926576)

The paper first proves existence of weak solutions of stochastic differential equations (SDE) \[ dx(t)=f(t,x(t)) dt+ g(t,x(t)) dW(t) \] with \(f:R_{+}\times R^{d}\rightarrow R^{d}\) Borel measurably bounded, \(g:R_{+}\times R^{d}\rightarrow R^{d\times d}\) continuous and bounded, and \(W\) the standard Wiener process. The ordinary differential equation case \((g(t,x)\equiv 0)\) was considered by \textit{A. F. Filippov} [``Differential equations with discontinuous right-hand side'' (1985; Zbl 0571.34001)], where a solution is defined as a solution of a properly constructed differential inclusion; similar definitions (using a stochastic differential inclusion) and techniques are used here. Next, the paper considers the particular case \(f(t,x)=f_{1}(t,x)+f_{2}(t,x)\), with \(f_{1}\) Borel measurably bounded and \(f_{2}\) and \(g\) continuously bounded and satisfying a local Lipschitz condition, and proves existence and uniqueness of a strong solution under the condition that the multimapping \(B_{1}\) (corresponding to \(f_{1}\) in the stochastic differential inclusion associated with the SDE) is monotone. In particular, this monotone condition is fulfilled in the unidimensional case (\(d=1\)) when \(f_{1}(t,x)\equiv f_{1}(x)\), \(f_{1}\) and \(f_{1}'\) are piecewise continuous, and \(f_{1}\) has positive jumps.