Pathwise uniqueness of one-dimensional SDEs driven by one-sided stable processes
Probability
2013-05-24 v1
Abstract
For , we consider stochastic differential equations driven by one-sided stable processes of order : We prove that pathwise uniqueness holds for this equation under the assumptions that is continuous, non-decreasing and positive on . A counterexample is given to show that the positivity of is crucial for pathwise uniqueness to hold.
Keywords
Cite
@article{arxiv.1305.5298,
title = {Pathwise uniqueness of one-dimensional SDEs driven by one-sided stable processes},
author = {Hua Ren},
journal= {arXiv preprint arXiv:1305.5298},
year = {2013}
}
Comments
10 pages