On the strong uniqueness of a solution to singular stochastic differential equations

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

Recommendations

• On the strong uniqueness of solutions of a stochastic differential equation
• One-dimensional stochastic differential equations involving a singular increasing process
• Strong solutions of SDEs with singular drift and Sobolev diffusion coefficients
• On a strong uniqueness of solutions of degenerate stochastic differential equations
• On the strong and weak solutions of stochastic differential equations governing Bessel processes

zbMATH Keywords

local timeBessel processmartingale problemstrong uniquenesssingular SDE

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (11)

• Some properties of diffusion processes with singular coefficients
• On the strong uniqueness of solutions of a stochastic differential equation
• Singular stochastic differential equations.
• Title not available (Why is that?)
• Strong solutions to reflecting stochastic differential equations with singular drift
• Stratonovich stochastic differential equation with irregular coefficients: Girsanov's example revisited
• Title not available (Why is that?)
• On the strong and weak solutions of stochastic differential equations governing Bessel processes
• Strong solutions of SDEs with singular drift and Sobolev diffusion coefficients
• Title not available (Why is that?)
• On the prevalence of stochastic differential equations with unique strong solutions

This page was built for publication: On the strong uniqueness of a solution to singular stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2896751)