Uniqueness of strong solutions for SDEs with Hölder diffusions

2015/01/12 by Rongrong Tian, Tian, Rongrong, Shuheng Tu +3
Computer Science · Economics, Econometrics and Finance · Engineering · #Advanced Mathematical Modeling in Engineering #Analysis of PDEs (math.AP) #FOS: Mathematics #Stability and Controllability of Differential Equations #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1501.02585

openalex publication_date 2015/01/12 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

This paper is concerned with the Itô stochastic differential equations with \mR^{d× k} diffusions in class of Hölder spaces and continuous \mR^d drifts. We derive a uniqueness result of strong solutions for \cC^α (α≥ (1)/(2)) coefficients and this result is new. Our proof is supported by Itô's formula and a finer analysis on cut-off and smoothing techniques.

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