On the pathwise uniqueness of solutions of stochastic differential equations driven by multi-dimensional symmetric \(\alpha\) stable class (Q862141)

Pathwise uniqueness is proved for solutions of the system of stochastic differential equations \[ dY(t)= \sigma(Y(t-)) dZ(t),\quad Y(0)= Y_0, \] where \(Z\) is a \(d\)-dimensional symmetric \(\alpha\) stable process such that \(d\geq 2\) and \(1< \alpha< 2\). An example is presented to demonstrate that in a certain sense the key hypothesis required for the proof cannot be improved upon.