On the strong uniqueness of a solution to singular stochastic differential equations

Details On the strong uniqueness of a solution to singular stochastic differential equations On the strong uniqueness of a solution to singular stochastic differential equations

2011-12-12

arxiv.org/abs/1112.2506v1

Mathematics

Probability

15 pages

Scientific paper

We prove the existence and uniqueness of a strong solution for an SDE on a
semi-axis with singularities at the point 0. The result obtained yields, for
example, the strong uniqueness of non-negative solutions to SDEs governing
Bessel processes.

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