Stochastic differential equations with singular drift

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.

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Year of publication:	1990
Authors:	Rutkowski, Marek
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 10.1990, 3, p. 225-229
Publisher:	Elsevier
Keywords:	Stochastic differential equations local times pathwise uniqueness

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005313869