English

Pathwise uniqueness for singular SDEs driven by stable processes

Dynamical Systems 2010-06-03 v2 Probability

Abstract

We prove pathwise uniqueness for stochastic differential equations driven by non-degenerate symmetric α\alpha-stable L\'evy processes with values in Rd\R^d having a bounded and β\beta-H\"older continuous drift term. We assume β>1α2\beta > 1 - \frac{\alpha}{2} and α[1,2)\alpha \in [ 1, 2). The proof requires analytic regularity results for associated integro-differential operators of Kolmogorov type. We also study differentiability of solutions with respect to initial conditions and the homeomorphism property.

Keywords

Cite

@article{arxiv.1005.4237,
  title  = {Pathwise uniqueness for singular SDEs driven by stable processes},
  author = {Enrico Priola},
  journal= {arXiv preprint arXiv:1005.4237},
  year   = {2010}
}

Comments

The main change is the new statement (iii) in Theorem 1.1 about differentiability of solutions with respect to initial conditions

R2 v1 2026-06-21T15:26:46.335Z