On pathwise uniqueness for reflecting Brownian motion in C domains
نویسنده
چکیده
Pathwise uniqueness holds for the Skorokhod stochastic differential equation in C1+γ-domains in Rd for γ > 1/2 and d ≥ 3.
منابع مشابه
Ju n 20 07 On pathwise uniqueness for reflecting Brownian motion in C 1 + γ domains ∗ Richard F . Bass and Krzysztof Burdzy
Pathwise uniqueness holds for the Skorokhod stochastic differential equation in C 1+γ-domains in R d for γ > 1/2 and d ≥ 3.
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We introduce a new method of proving pathwise uniqueness, and we apply it to the degenerate stochastic differential equation dX t = |X t | α dW t , where W t is a one-dimensional Brownian motion and α ∈ (0, 1/2). Weak uniqueness does not hold for the solution to this equation. If one restricts attention, however, to those solutions that spend zero time at 0, then pathwise uniqueness does hold a...
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We introduce a new method of proving pathwise uniqueness, and we apply it to the degenerate stochastic differential equation dX t = |X t | α dW t , where W t is a one-dimensional Brownian motion and α ∈ (0, 1/2). Weak uniqueness does not hold for the solution to this equation. If one restricts attention, however, to those solutions that spend zero time at 0, then pathwise uniqueness does hold a...
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تاریخ انتشار 2000