Pathwise Uniqueness of Non-uniformly Elliptic SDEs with Rough Coefficients

被引：0
作者：
Olivier Menoukeu-Pamen
Youssef Ouknine
Ludovic Tangpi
机构：
[1] African Institute for Mathematical Sciences,Department of Mathematical Sciences
[2] University of Ghana,Complex Systems Engineering and Human Systems
[3] Institute for Financial and Actuarial Mathematics,Mathematics Department, FSSM
[4] Mohammed VI Polytechnic University,Department of Operations Research and Financial Engineering
[5] Cadi Ayyad University,undefined
[6] Princeton University,undefined
来源：
Journal of Theoretical Probability | 2019年 / 32卷
关键词：
Stochastic differential equations; Pathwise uniqueness; Comparison theorem for local times; Local time of the unknown; 60H10; 60H60; 60J55;
D O I：
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学科分类号：
摘要：
In this paper, we review and improve pathwise uniqueness results for some types of one-dimensional stochastic differential equations (SDE) involving the local time of the unknown process. The diffusion coefficient of the SDEs we consider is allowed to vanish on a set of positive measure and is not assumed to be smooth. As opposed to various existing results, our arguments are mainly based on the comparison theorem for local time and the occupation time formula. We apply our pathwise uniqueness results to derive strong existence and other properties of solutions for SDEs with rough coefficients.
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页码：1892 / 1908
页数：16
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