Path-by-path uniqueness for stochastic differential equations under Krylov-R\"ockner condition

Authors Lukas Anzeletti, Khoa Lê, Chengcheng Ling

Publication date 13 April 2023

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Regularization by noise (60H50)

Abstract: We show that any stochastic differential equation (SDE) driven by Brownian motion with drift satisfying the Krylov-R"ockner condition has exactly one solution in an ordinary sense for almost every trajectory of the Brownian motion. Additionally, we show that such SDE is strongly complete, i.e. for almost every trajectory of the Brownian motion, the family of solutions with different initial data forms a continuous semiflow for all nonnegative times.

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