Path-by-path uniqueness for stochastic differential equations under Krylov-Röckner condition
Fuente:
arXiv
Enregistré dans:
| Auteurs principaux: | , , |
|---|---|
| Format: | Preprint |
| Publié: |
2023
|
| Sujets: | |
| Accès en ligne: | |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
| _version_ | 1866916830380032000 |
|---|---|
| author | Anzeletti, Lukas Lê, Khoa Ling, Chengcheng |
| author_facet | Anzeletti, Lukas Lê, Khoa Ling, Chengcheng |
| contents | We show that any stochastic differential equation (SDE) driven by Brownian motion with drift satisfying the Krylov-Röckner condition has exactly one solution in an ordinary sense for almost every trajectory of the Brownian motion. Consequentially, such SDE is strongly complete and forms a random dynamical system. Also, a further application to a boundary value problem is discussed. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2304_06802 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Path-by-path uniqueness for stochastic differential equations under Krylov-Röckner condition Anzeletti, Lukas Lê, Khoa Ling, Chengcheng Probability Classical Analysis and ODEs 60H10, 60H50, 60J60 We show that any stochastic differential equation (SDE) driven by Brownian motion with drift satisfying the Krylov-Röckner condition has exactly one solution in an ordinary sense for almost every trajectory of the Brownian motion. Consequentially, such SDE is strongly complete and forms a random dynamical system. Also, a further application to a boundary value problem is discussed. |
| title | Path-by-path uniqueness for stochastic differential equations under Krylov-Röckner condition |
| topic | Probability Classical Analysis and ODEs 60H10, 60H50, 60J60 |
| url | https://arxiv.org/abs/2304.06802 |