A 2-dimensional SDE whose solutions are not unique (Q5947986)

The author constructs the \(2\times 1\) matrix-valued function \( \sigma (x):= \rho (|x |) |x |^{-1} (x_2, -x_1)\), \(x \not = 0\), \(\sigma (0)= 0\), with \( \rho\) being a continuous function on \( [0, \varepsilon)\) such that \( \rho >0\) on \((0, \varepsilon), \rho (0)=0\) and \(\int_{0+} \rho ^{-2}(r)r dr < \infty \) and proves that the equation \(dX_t = \sigma (X_t) dB_t \) for some \(T>0\) has a nonzero solution \((X_t)_{t \in [0,T)}\) with \(X(0)=0\), on some probability space equipped with a one-dimensional Brownian motion \(B\). The construction demonstrates that fluctations in the radial direction may stabilize a particle in the origin and the effect is described in the final section.