Stochastic differential equations with singular drift

Marek Rutkowski

Statistics & Probability Letters, 1990, vol. 10, issue 3, 225-229

Abstract: We study the pathwise uniqueness of solutions of one-dimensional stochastic differential equations involving local times, under the assumption that the diffusion coefficient satisfies the (LT) condition introduced by Barlow and Perkins (1984). We show that this condition is sufficient for the pathwise uniqueness in the case of SDE's involving local times studied until now. In the final section a more general class of equations is introduced.

Keywords: Stochastic; differential; equations; local; times; pathwise; uniqueness (search for similar items in EconPapers)
Date: 1990
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