The solution of the perturbed Tanaka-equation is pathwise unique

DOI10.1214/11-AOP716MaRDI QIDQ373569zbMATHFDO

Authors Vilmos Prokaj

Publication date 17 October 2013

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

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

zbMATH Keywords

stochastic differential equationpathwise uniquenessTanaka-equation

Mathematics Subject Classification ID

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

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.

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Cites work

• scientific article; zbMATH DE number 1713116 (Why is no real title available?)
• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
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• Hiding a constant drift
• Hiding a constant drift -- a strong solution
• Local times of ranked continuous semimartingales
• Random times and enlargements of filtrations in a Brownian setting.

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• A closer look at the solutions of a degenerate stochastic differential equation
• Stochastic flows and an interface SDE on metric graphs
• Hiding a constant drift -- a strong solution
• On a coupling of solutions to the interface stochastic differential equation on a star graph
• Two Brownian particles with rank-based characteristics and skew-elastic collisions
• Stochastic flow and noise associated with the Tanaka stochastic differential equation
• scientific article; zbMATH DE number 6989211 (Why is no real title available?)
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• Planar diffusions with rank-based characteristics and perturbed Tanaka equations
• Three examples of Brownian flows on \(\mathbb{R}\)

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