On the existence of universal functional solutions to classical SDE's

DOI10.1214/AOP/1042644713MaRDI QIDQ1922073zbMATH OpenOpenAlexFDO

Authors Olav Kallenberg

Publication date 7 November 1996

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1042644713

zbMATH Keywords

stochastic differential equationsstrong existenceuniversal functional solutionsuniversally predictable functionweak solution

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Review text

The paper gives an interesting improvement of the following fundamental result of \textit{T. Yamada} and \textit{S. Watanabe} [J. Math. Kyoto Univ. 11, 155-167 (1971; Zbl 0236.60037) and ibid. 11, 553-563 (1971; Zbl 0229.60039)]. For a classical stochastic differential equation in \(R^d\) of the form \(dX_t= \sigma(t,X)dB_t+b(t,X)dt\), weak existence and pathwise uniqueness for a given initial distribution \(\mu\) imply strong existence and uniqueness in law for that \(\mu\), and the existence of a Borel measurable function \(F_\mu:R^d\times C(R_+,R^r)\to C(R_+,R^d)\) such that \(X=F_\mu(X_0,B)\) holds a.s. for every weak solution \((X,B)\) with initial distribution \(\mu\). The author proves that a universal representation \(X=F(X_0,B)\) (i.e. with \(F\) independent of \(\mu\)) can be obtained. Precisely, under the assumption that weak existence and pathwise uniqueness hold for all initial distributions \(\delta_X\), there exists a Borel measurable and universally predictable function \(F\) such that \(X=F(X_0,B)\) a.s. for every weak solution \((X,B)\).

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• scientific article; zbMATH DE number 3245885 (Why is no real title available?)
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Cited in

(11)

• A scaling limit for utility indifference prices in the discretised Bachelier model
• A nonclassical solution to a classical SDE and a converse to Kolmogorov's zero-one law
• Lyapunov criteria for the Feller-Dynkin property of martingale problems
• On the form of the large deviation rate function for the empirical measures of weakly interacting systems
• On the existence of semimartingales with continuous characteristics
• Sharp lower error bounds for strong approximation of SDEs with discontinuous drift coefficient by coupling of noise
• One-dimensional SDEs with LPS-type singular drift coefficients and Hölder continuous diffusion coefficients
• Law of the SLE tip
• A Skorohod measurable universal functional representation of solutions to semimartingale SDEs
• On upper and lower bounds for pathwise approximation of scalar SDEs with reflection
• The local coupling of noise technique and its application to lower error bounds for strong approximation of SDEs with irregular coefficients

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