Abstract: We study questions of existence and uniqueness of weak and strong solutions for a one-sided Tanaka equation with constant drift lambda. We observe a dichotomy in terms of the values of the drift parameter: for lambdaleq 0, there exists a strong solution which is pathwise unique, thus also unique in distribution; whereas for lambda>0, the equation has a unique in distribution weak solution, but no strong solution (and not even a weak solution that spends zero time at the origin). We also show that strength and pathwise uniqueness are restored to the equation via suitable "Brownian perturbations".
Recommendations
- The solution of the perturbed Tanaka-equation is pathwise unique
- Stochastic flow and noise associated with the Tanaka stochastic differential equation
- scientific article; zbMATH DE number 3934137
- scientific article; zbMATH DE number 1264334
- Sur l'unicite forte des solutions d'une equation differentielle stochastique avec drift singulier dependant du temps en dimension un
Cited in
(11)- A quickest detection problem with an observation cost
- Large deviations for sticky Brownian motions
- Wasserstein convergence rates for random bit approximations of continuous Markov processes
- Sticky-reflected stochastic heat equation driven by colored noise
- Markov processes with spatial delay: path space characterization, occupation time and properties
- Properties of the EMCEL scheme for approximating irregular diffusions
- Approximating exit times of continuous Markov processes
- A functional limit theorem for coin tossing Markov chains
- The solution of the perturbed Tanaka-equation is pathwise unique
- Stochastic differential equations for sticky Brownian motion
- Balayage formula, local time and applications in stochastic differential equations
This page was built for publication: On the one-sided tanaka equation with drift
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q428701)