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

MaRDI QIDQ2896751zbMATHFDO

Authors Olga Aryasova, Andrey Yu. Pilipenko

Publication date 16 July 2012

Published in Theory of Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1112.2506

zbMATH Keywords

local timeBessel processmartingale problemstrong uniquenesssingular SDE

Mathematics Subject Classification ID

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

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.

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(18)

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