Pathwise Uniqueness of Non-uniformly Elliptic SDEs with Rough Coefficients

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dc.contributor.authorMenoukeu-Pamen, O.
dc.contributor.authorOuknine, Y.
dc.contributor.authorTangpi, L.
dc.date.accessioned2019-11-25T16:54:15Z
dc.date.available2019-11-25T16:54:15Z
dc.date.issued2019-12
dc.descriptionResearch Articleen_US
dc.description.abstractIn this paper, we review and improve pathwise uniqueness results for some types of one-dimensional stochastic differential equations (SDE) involving the local time of the unknown process. The diffusion coefficient of the SDEs we consider is allowed to vanish on a set of positive measure and is not assumed to be smooth. As opposed to various existing results, our arguments are mainly based on the comparison theorem for local time and the occupation time formula. We apply our pathwise uniqueness results to derive strong existence and other properties of solutions for SDEs with rough coefficients.en_US
dc.identifier.citationMenoukeu-Pamen, O., Ouknine, Y. & Tangpi, L. J Theor Probab (2019) 32: 1892. https://doi.org/10.1007/s10959-018-0869-2en_US
dc.identifier.otherhttps://doi.org/10.1007/s10959-018-0869-2
dc.identifier.urihttp://ugspace.ug.edu.gh/handle/123456789/33826
dc.language.isoenen_US
dc.publisherJournal of Theoretical Probabilityen_US
dc.relation.ispartofseries32;4
dc.subjectStochastic differential equationsen_US
dc.subjectPathwise uniquenessen_US
dc.subjectComparison theorem for local timesen_US
dc.subjectLocal time of the unknownen_US
dc.titlePathwise Uniqueness of Non-uniformly Elliptic SDEs with Rough Coefficientsen_US
dc.typeArticleen_US

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