Pathwise uniqueness of one-dimensional SDEs driven by one-sided stable processes

Abstract: For

a l p h a i n (0, 1)

, we consider stochastic differential equations driven by one-sided stable processes of order

a l p h a

: [dX_t= phi(X_{t-}) dZ_t.] We prove that pathwise uniqueness holds for this equation under the assumptions that

p h i

is continuous, non-decreasing and positive on

R

. A counterexample is given to show that the positivity of

p h i

is crucial for pathwise uniqueness to hold.

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