Uniqueness of solutions of stochastic differential equations

2007/09/26 by A. M. Davie, Davie, A. M. · 19 citations
Economics, Econometrics and Finance · Mathematics · #Stochastic processes and financial applications #math.CA #math.PR #msc:60H10

paper · pdf · doi:10.48550/arxiv.0709.4147

arxiv created 2007/09/26 · arxiv updated 2009/12/01

Abstract

We consider a d-dimensional stochastic differential equation with additive noise and a drift coefficient which is assumed only to be a bounded Borel function. We show that, for almost all choices of the driving Brownian path, the equation has a unique solution.

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