Stratonovich stochastic differential equation with irregular coefficients: Girsanov's example revisited

DOI10.3150/19-BEJ1161MaRDI QIDQ2295037zbMATH OpenWikidataFDO

Authors Ilya Pavlyukevich, G. M. Shevchenko

Publication date 12 February 2020

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1812.05324, https://projecteuclid.org/euclid.bj/1580461583

zbMATH Keywords

generalized Itô's formulaGirsanov's exampleheterogeneous diffusion processlocal timenon-uniquenesssingular stochastic differential equationskew Brownian motionStratonovich integraltime reversion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Anomalous diffusion models (subdiffusion, superdiffusion, continuous-time random walks, etc.) (60K50)

Abstract: In this paper we study the Stratonovich stochastic differential equation $mathrmdX=|X{|}^{alpha}circmathrmdB$, $alphain(-1,1)$, which has been introduced by Cherstvy et al. [New Journal of Physics 15:083039 (2013)] in the context of analysis of anomalous diffusions in heterogeneous media. We determine its weak and strong solutions, which are homogeneous strong Markov processes chng{spending zero time at $0$: for $alphain(0,1)$, these solutions have the form ${\displaystyle }$ X_t^ heta=�igl((1-alpha)B_t^ heta�igr)^{1/(1-alpha)}, ${\displaystyle }$ where $B^{h}eta$ is the $heta$-skew Brownian motion driven by $B$ and starting at $frac11-alpha(X_0{)}^{1-alpha}$, $hetain[-1,1]$,} and $(x{)}^{gamma}=|x{|}^{g}ammaoperatornamesignx$; for $alphain(-1,0]$, only the case $heta=0$ is possible. The central part of the paper consists in the proof of the existence of a quadratic covariation $[f(B^{h}eta),B]$ for a locally square integrable function $f$ and is based on the time-reversion technique for Markovian diffusions.

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Cited in

(4)

• Stratonovich stochastic differential equation with irregular coefficients: Girsanov's example revisited
• Uniqueness in law for singular degenerate SDEs with respect to a (sub-)invariant measure
• Stochastic selection problem for a Stratonovich SDE with power non-linearity
• Pointwise well-posedness results for degenerate Itô-SDEs with locally bounded drifts

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