Smoothness of Flow and Path-by-Path Uniqueness in Stochastic Differential Equations

MaRDI QIDQ6290975zbMATH OpenFDO

Authors Siva R. Athreya, Suprio Bhar, Atul Shekhar

Publication date 7 September 2017

Abstract: We consider the stochastic differential equation ${\displaystyle }$ X_t = x_0 + int_0^t f(X_s)ds + int_0^tsigma(X_s)dB^{H}_s,${\displaystyle }$ with $x_{0}inmathbb{R}^d$, $dgeq1$, $f:mathbb{R}^{d}ightarrowmathbb{R}^d$ is bounded continuous, $sigma:mathbb{R}^{d}ightarrowmathbb{R}^{dimesd}$ is a uniformly elliptic, bounded, twice continuously differentiable conservative vector field and $B^H$ is fractional Brownian motion with $Hin(frac13,frac12]$. When $d=1$, $H=frac12$, and $f$ is H"older continuous, in the spirit of Davie [D07], we establish the existence of a null set $mathcalN$ depending only on $f,sigma$ such that for all $x_{0}inmathbbR$ and $omegainOmegasetminusmathcalN$, the above equation admits a path-by-path unique solution. Our proof is based on establishing the uniform continuous differentiability of the flow associated with the equation. We also establish the path-by-path uniqueness for $dgeq1$ and $Hin(frac13,frac12]$, but the null set may depend on $x_0$, thus extending a result of Catellier-Gubinelli [CG12].

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