On Davie's uniqueness for some degenerate SDEs
Abstract
We consider singular SDEs like \begin{equation} \label{ss} dX_t = b(t, X_t) dt + A X_t dt + \sigma(t) d{L}_t , \;\; t \in [0,T], \;\; X_0 =x \in {\mathbb R}^n, \end{equation} where is a real matrix, i.e., , is bounded and H\"older continuous, is a locally bounded function and is an -valued L\'evy process, . We show that strong existence and uniqueness together with -Lipschitz dependence on the initial condition imply Davie's uniqueness or path by path uniqueness. This extends a result of [E. Priola, AIHP, 2018] proved when , and . We apply the result to some singular degenerate SDEs associated to the kinetic transport operator when and is an -valued Wiener process. For such equations strong existence and uniqueness are known under H\"older type conditions on . We show that in addition also Davie's uniqueness holds.
Keywords
Cite
@article{arxiv.1912.02776,
title = {On Davie's uniqueness for some degenerate SDEs},
author = {Enrico Priola},
journal= {arXiv preprint arXiv:1912.02776},
year = {2019}
}