Related papers: Strong solutions to beta-Jacobi processes

The purpose of this paper is to study the existence and uniqueness of solutions to a Stochastic Differential Equation (SDE) coming from the eigenvalues of Wishart processes. The coordinates are non-negative, evolve as Cox-Ingersoll-Ross…

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…

We prove existence and pathwise uniqueness results for four different types of stochastic differential equations (SDEs) perturbed by the past maximum process and/or the local time at zero. Along the first three studies, the coefficients are…

We present a well-posedness result for strong solutions of one-dimensional stochastic differential equations (SDEs) of the form $$\mathrm{d} X= u(\omega,t,X)\, \mathrm{d} t + \frac12 \sigma(\omega,t,X)\sigma'(\omega,t,X)\,\mathrm{d} t +…

We prove existence and uniqueness of strong solutions to a large class of autonomous stochastic differential equations on an open domain, where the drift exhibits a singular behaviour at the boundary. The main result involves a drift…

We study finite and countably infinite systems of stochastic differential equations, in which the drift and diffusion coefficients of each component (particle) are determined by its rank in the vector of all components of the solution. We…

We study strong existence and pathwise uniqueness for a class of infinite-dimensional singular stochastic differential equations (SDE), with state space as the cone $\{x \in \mathbb{R}^{\mathbb{N}}: -\infty < x_1 \leq x_2 \leq \cdots\}$,…

We study systems of stochastic differential equations describing positions x_1,x_2,...,x_p of p ordered particles, with inter-particles repulsions of the form H_{ij}(x_i,x_j)/(x_i-x_j). We show the existence of strong and pathwise unique…

Consider stochastic differential equations (SDEs) in $\Rd$: $dX_t=dW_t+b(t,X_t)\d t$, where $W$ is a Brownian motion, $b(\cdot, \cdot)$ is a measurable vector field. It is known that if $|b|^2(\cdot, \cdot)=|b|^2(\cdot)$ belongs to the Kato…

Dynamical systems that are subject to continuous uncertain fluctuations can be modelled using Stochastic Differential Equations (SDEs). Controlling such system results in solving path constrained SDEs. Broadly, these problems fall under the…

We consider an SDE system for signed Coulomb particles moving in $\mathbb R^2$. Due to the singular Coulomb interaction force, collisions between particles of opposite sign will happen in finite time. Upon collision, the colliding particles…

We establish the existence and uniqueness of strong solutions, in both the PDE and probabilistic sense, for a broad class of nonlinear stochastic partial differential equations (SPDEs) on a bounded domain $\mathscr{O}\subset \mathbb{R}^d$…

The object of the present paper is to find new sufficient conditions for the existence of unique strong solutions to a class of (time-inhomogeneous) stochastic differential equations with random, non-Lipschitzian coefficients. We give an…

We prove the existence of probabilistically strong solutions for large classes of possibly degenerate stochastic differential equations with locally Sobolev-regular coefficients, using the restricted Yamada-Watanabe theorem. Our approach…

In this article, we study systems of $n \geq 1$, not necessarily linear, discrete differential equations (DDEs) of order $k \geq 1$ with one catalytic variable. We provide a constructive and elementary proof of algebraicity of the solutions…

In this paper, we are interested in the following one dimensional forward stochastic differential equation (SDE) \[ d X_{t}=b(t,X_{t},\omega)d t +\sigma d B_{t},\quad 0\leq t\leq T,\quad X_{0}=\,x\in \mathbb{R}, \] where the driving noise…

In this paper we study the existence and uniqueness of the strong solution of following d dimensional stochastic differential equation (SDE) driven by Brownian motion: dX(t)=b(t,X(t))dt+a(t,X(t))dB(t), X(0)= x, where B is a d-dimensional…

We consider the stochastic differential equation $$ dX_t = b(X_t) dt + dL_t,$$ where the drift $b$ is a generalized function and $L$ is a symmetric one dimensional $\alpha$-stable L\'evy processes, $\alpha \in (1, 2)$. We define the notion…

We establish an existence and uniqueness result for a class of multidimensional quadratic backward stochastic differential equations (BSDE). This class is characterized by constraints on some uniform a priori estimate on solutions of a…

This paper investigates solvability of fully coupled systems of forward-backward stochastic differential equations (FBSDEs) with irregular coefficients. In particular, we assume that the coefficients of the FBSDEs are merely measurable and…