Stochastic selection problem for a Stratonovich SDE with power non-linearity

Abstract

In our paper [Bernoulli 26(2), 2020, 1381-1409], we found all strong Markov solutions that spend zero time at $0$ of the Stratonovich stochastic differential equation $d X=|X|^{\alpha}\circ dB$, $\alpha\in (0,1)$. These solutions have the form $X_t^\theta=F(B^\theta_t)$, where $F(x)=\frac{1}{1-\alpha}|x|^{1/(1-\alpha)}\text{sign}\, x$ and $B^\theta$ is the skew Brownian motion with skewness parameter $\theta\in [-1,1]$ starting at $F^{-1}(X_0)$. In this paper we show how an addition of small external additive noise $\varepsilon W$ restores uniqueness. In the limit as $\varepsilon\to 0$, we recover heterogeneous diffusion corresponding to the physically symmetric case $\theta=0$.