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arXiv · 1112.2506

On the strong uniqueness of a solution to singular stochastic differential equations

Olga V. Aryasova·Andrey Yu. Pilipenko
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Abstract

We prove the existence and uniqueness of a strong solution for an SDE on a semi-axis with singularities at the point 0. The result obtained yields, for example, the strong uniqueness of non-negative solutions to SDEs governing Bessel processes.

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Olga V. Aryasova, Andrey Yu. Pilipenko. 2011-12-12. On the strong uniqueness of a solution to singular stochastic differential equations. https://arxiv.org/abs/1112.2506

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