Existence and uniqueness for singular stochastic differential equations with piecewise well-behaved coefficients
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arXiv
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| Autores principales: | , |
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| Formato: | Preprint |
| Publicado: |
2026
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| _version_ | 1866914501724471296 |
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| author | Mazzonetto, Sara Nieto, Benoît |
| author_facet | Mazzonetto, Sara Nieto, Benoît |
| contents | We study existence and uniqueness for one-dimensional generalized stochastic differential equations with singular coefficients, including distributional drift and degenerate, possibly discontinuous, diffusion coefficients. Such singularities naturally encode changes in the dynamics at thresholds, including reflecting, skew, or sticky interface behavior.
We develop two directions. We provide sufficient conditions for pathwise uniqueness, under weak existence and uniqueness in law, without assuming uniform ellipticity or continuity of the diffusion coefficient. We also investigate a pasting approach for generalized stochastic differential equations that transfers strong existence and pathwise uniqueness, as well as weak existence and uniqueness in law, from local component equations to a global solution. To the best of our knowledge, this provides the first explicit pasting theorem yielding pathwise uniqueness in the setting of generalized stochastic differential equations.
As an application, we establish the first existence and uniqueness results for a class of skew sticky threshold Cox-Ingersoll-Ross-type diffusions, including the threshold Chan-Karolyi-Longstaff-Sanders process. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2604_21389 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Existence and uniqueness for singular stochastic differential equations with piecewise well-behaved coefficients Mazzonetto, Sara Nieto, Benoît Probability primary 60H10, 60J60, secondary: 60J55, 60J65 We study existence and uniqueness for one-dimensional generalized stochastic differential equations with singular coefficients, including distributional drift and degenerate, possibly discontinuous, diffusion coefficients. Such singularities naturally encode changes in the dynamics at thresholds, including reflecting, skew, or sticky interface behavior. We develop two directions. We provide sufficient conditions for pathwise uniqueness, under weak existence and uniqueness in law, without assuming uniform ellipticity or continuity of the diffusion coefficient. We also investigate a pasting approach for generalized stochastic differential equations that transfers strong existence and pathwise uniqueness, as well as weak existence and uniqueness in law, from local component equations to a global solution. To the best of our knowledge, this provides the first explicit pasting theorem yielding pathwise uniqueness in the setting of generalized stochastic differential equations. As an application, we establish the first existence and uniqueness results for a class of skew sticky threshold Cox-Ingersoll-Ross-type diffusions, including the threshold Chan-Karolyi-Longstaff-Sanders process. |
| title | Existence and uniqueness for singular stochastic differential equations with piecewise well-behaved coefficients |
| topic | Probability primary 60H10, 60J60, secondary: 60J55, 60J65 |
| url | https://arxiv.org/abs/2604.21389 |