The solution of the perturbed Tanaka-equation is pathwise unique

DOI10.1214/11-AOP716zbMATH Open1284.60134arXiv1104.0740MaRDI QIDQ373569FDOQ373569

Authors: Vilmos Prokaj 

Publication date: 17 October 2013

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

Abstract: The Tanaka equation $d{X}_t=operatornamesign(X_t),d{B}_t$ is an example of a stochastic differential equation (SDE) without strong solution. Hence pathwise uniqueness does not hold for this equation. In this note we prove that if we modify the right-hand side of the equation, roughly speaking, with a strong enough additive noise, independent of the Brownian motion B, then the solution of the obtained equation is pathwise unique.

Full work available at URL: https://arxiv.org/abs/1104.0740

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zbMATH Keywords

stochastic differential equationpathwise uniquenessTanaka-equation

Mathematics Subject Classification ID

Brownian motion (60J65) Martingales with continuous parameter (60G44) Stochastic integral equations (60H20)

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Cited In (15)

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