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arXiv · 1312.7257

Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions

Ioannis Karatzas·Johannes Ruf
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Abstract

We study one-dimensional stochastic integral equations with non-smooth dispersion coefficients, and with drift components that are not restricted to be absolutely continuous with respect to Lebesgue measure. In the spirit of Lamperti, Doss and Sussmann, we relate solutions of such equations to solutions of certain ordinary integral equations, indexed by a generic element of the underlying probability space. This relation allows us to solve the stochastic integral equations in a pathwise sense.

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Ioannis Karatzas, Johannes Ruf. 2013-12-27. Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions. https://arxiv.org/abs/1312.7257

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