Uniqueness of Solutions of Stochastic Differential Equations
From MaRDI portal
Abstract: We consider a d-dimensional stochastic differential equation with additive noise and a drift coefficient which is assumed only to be a bounded Borel function. We show that, for almost all choices of the driving Brownian path, the equation has a unique solution.
Recommendations
Cited in
(94)- Setwise convergence of solution measures of stochastic differential equations
- Brownian motion with singular drift
- Davie's type uniqueness for a class of SDEs with jumps
- Regularization by noise and flows of solutions for a stochastic heat equation
- On uniqueness of solutions to stochastic equations: A counter-example
- The Navier-Stokes-Vlasov-Fokker-Planck system as a scaling limit of particles in a fluid
- High mode transport noise improves vorticity blow-up control in 3D Navier-Stokes equations
- Regularity properties of jump diffusions with irregular coefficients
- Approximation of SDEs: a stochastic sewing approach
- Strong solutions of stochastic differential equations with square integrable drift
- Path-by-path uniqueness of multidimensional SDE's on the plane with nondecreasing coefficients
- Strong regularization by Brownian noise propagating through a weak Hörmander structure
- Regularization of multiplicative SDEs through additive noise
- Uniqueness of a probability solution to the Kolmogorov equation with a diffusion matrix satisfying Dini's condition
- Strong solutions of stochastic differential equations with generalized drift and multidimensional fractional Brownian initial noise
- Uniqueness problem for SPDEs from population models
- Pathwise vs. path-by-path uniqueness
- A stochastic sewing lemma and applications
- Strong existence and uniqueness for stable stochastic differential equations with distributional drift
- Stochastic differential equations with critical drifts
- On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift
- Strong existence and higher order Fréchet differentiability of stochastic flows of fractional Brownian motion driven SDEs with singular drift
- Stochastic ODEs and stochastic linear PDEs with critical drift: regularity, duality and uniqueness
- Selection of equilibria in a linear quadratic mean-field game
- Restoring uniqueness to mean-field games by randomizing the equilibria
- Propagation of chaos for the Vlasov-Poisson-Fokker-Planck system in 1D
- Nonexplosion and pathwise uniqueness of stochastic differential equation driven by continuous semimartingale with non-Lipschitz coefficients
- Sobolev differentiable stochastic flows for SDEs with singular coefficients: applications to the transport equation
- On uniqueness for some non-Lipschitz SDE
- Flows for singular stochastic differential equations with unbounded drifts
- On a skew stable Lévy process
- Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs
- Pathwise regularisation of singular interacting particle systems and their mean field limits
- Uniqueness properties of diffusion processes
- Averaging along irregular curves and regularisation of ODEs
- Rough paths and 1d SDE with a time dependent distributional drift: application to polymers
- Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions
- Some remarks on Davie's uniqueness theorem
- Individual path uniqueness of solutions of stochastic differential equations
- On Stochastic Differential Equations with Locally Unbounded Drift
- REGULARIZING PROPERTIES OF BROWNIAN PATHS AND A RESULT OF DAVIE
- Stochastic regularization effects of semi-martingales on random functions
- scientific article; zbMATH DE number 7345408 (Why is no real title available?)
- Stochastic differential equations with Sobolev drifts and driven by -stable processes
- scientific article; zbMATH DE number 4056708 (Why is no real title available?)
- A variational approach to the construction and Malliavin differentiability of strong solutions of SDEs
- scientific article; zbMATH DE number 500340 (Why is no real title available?)
- scientific article; zbMATH DE number 736931 (Why is no real title available?)
- Pathwise uniqueness for singular SDEs driven by stable processes
- On resolving singularities of piecewise-smooth discontinuous vector fields via small perturbations
- On Davie's uniqueness for some degenerate SDEs
- Regularization effects of a noise propagating through a chain of differential equations: an almost sharp result
- Strong solutions of some one-dimensional SDEs with random and unbounded drifts
- Nonlinear Young integrals and differential systems in Hölder media
- A 2-dimensional SDE whose solutions are not unique
- Well-posedness of the deterministic transport equation with singular velocity field perturbed along fractional Brownian paths
- Perturbations of singular fractional SDEs
- Uniqueness of stationary distribution and exponential convergence for distribution dependent SDEs
- Stochastic differential equations with critically irregular drift coefficients
- Regularisation by fractional noise for one-dimensional differential equations with distributional drift
- Stochastic wave equation with Hölder noise coefficient: well-posedness and small mass limit
- Malliavin differentiability of solutions of hyperbolic stochastic partial differential equations with irregular drifts
- Variability of paths and differential equations with \(\mathrm{BV}\)-coefficients
- Example of a Dirichlet process whose zero energy part has finite \(p\)-th variation
- Well‐posedness of stochastic heat equation with distributional drift and skew stochastic heat equation
- Restoration of well-posedness of infinite-dimensional singular ODE's via noise
- \(C^{\infty}\)-regularization by noise of singular ODE's
- Non-linear Young equations in the plane and pathwise regularization by noise for the stochastic wave equation
- Path-by-path regularisation through multiplicative noise in rough, Young, and ordinary differential equations
- Stochastic integration with respect to local time of the Brownian sheet and regularising properties of Brownian sheet paths
- Transport equations and flows with one-sided Lipschitz velocity fields
- Prevalence of -irregularity and related properties
- Comparison of classical and path-by-path solutions to SDEs
- Regularization by noise for rough differential equations driven by Gaussian rough paths
- Yet another notion of irregularity through small ball estimates
- Divergence-free drifts decrease concentration
- Strong solutions of fractional Brownian sheet-driven stochastic differential equations with integrable drift
- Randomised Euler-Maruyama method for SDEs with Hölder continuous drift coefficient
- Smoothness of solutions of hyperbolic stochastic partial differential equations with \(L^{\infty}\)-vector fields
- Taming singular stochastic differential equations: a numerical method
- Linear and nonlinear transport equations with coordinate-wise increasing velocity fields
- Stochastic differential equations with low regularity growing drifts and applications
- SDEs with critical time dependent drifts: strong solutions
- Mean field games with common noise and degenerate idiosyncratic noise
- Gradient estimates of strong solutions for stochastic differential equations with square integrable drift
- Stochastic differential equations with critically low regularity growing drift
- Almost-everywhere uniqueness of Lagrangian trajectories for 3D Navier-Stokes revisited
- Numerical approximation of SDEs with fractional noise and distributional drift
- Solution theory of fractional SDEs in complete subcritical regimes
- Uniform pathwise stability of additive singular SDEs driven by fractional Brownian motion
- Regularisation by multiplicative noise for reaction-diffusion equations
- Schauder estimates for nonlocal kinetic equations and applications
- Noiseless regularisation by noise
- Well-posedness of the transport equation by stochastic perturbation
This page was built for publication: Uniqueness of Solutions of Stochastic Differential Equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5443359)
