On the one-sided tanaka equation with drift

DOI10.1214/ECP.V16-1665zbMATH Open1243.60048arXiv1108.4069MaRDI QIDQ428701FDOQ428701

Authors: Ioannis Karatzas, Albert N. Shiryaev, Mykhaylo Shkolnikov 

Publication date: 22 June 2012

Published in: Electronic Communications in Probability (Search for Journal in Brave)

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".

Full work available at URL: https://arxiv.org/abs/1108.4069

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zbMATH Keywords

stochastic differential equationskew Brownian motionstrong existencecomparison theorems for diffusionssticky Brownian motionstrong uniquenesstanaka equationweak existenceweak uniqueness

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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