On the strong uniqueness of a solution to singular stochastic differential equations
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Publication:2896751
zbMATH Open1249.60177arXiv1112.2506MaRDI QIDQ2896751FDOQ2896751
Andrey Yu. Pilipenko, Olga Aryasova
Publication date: 16 July 2012
Published in: Theory of Stochastic Processes (Search for Journal in Brave)
Abstract: We prove the existence and uniqueness of a strong solution for an SDE on a semi-axis with singularities at the point 0. The result obtained yields, for example, the strong uniqueness of non-negative solutions to SDEs governing Bessel processes.
Full work available at URL: https://arxiv.org/abs/1112.2506
Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Cited In (5)
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- Stratonovich stochastic differential equation with irregular coefficients: Girsanov's example revisited
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- On the strong and weak solutions of stochastic differential equations governing Bessel processes
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