Uniqueness of solutions of stochastic differential equations
Probability
2007-09-27 v1 Classical Analysis and ODEs
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.
Keywords
Cite
@article{arxiv.0709.4147,
title = {Uniqueness of solutions of stochastic differential equations},
author = {A. M. Davie},
journal= {arXiv preprint arXiv:0709.4147},
year = {2007}
}