On strong solution of a multidimensional SDE: extension of Yamada -- Watanabe's theorem

2025/10/05 by A. A. Lyappieva, Lyappieva, A. A., A. Yu. Veretennikov +1
Computer Science · Economics, Econometrics and Finance · Engineering · #60H10 #Advanced Mathematical Modeling in Engineering #FOS: Mathematics #Probability (math.PR) #Stability and Controllability of Differential Equations #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2510.04329

openalex publication_date 2025/10/05 · openalex created_date 2025/10/09 · openalex updated_date 2026/07/28

Abstract

A new strong uniqueness result for a multidimensional SDE with a non-degenerate diffusion and partially irregular drift is established. It may be regarded as a combined variation on the themes of Yamada & Watanabe (1971), of Zvonkin (1974), and of the second author of the present paper (1980).

Citations

• Uniqueness of solutions of stochastic differential equations
• A generalization of a lemma of bellman and its application to uniqueness problems of differential equations

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