English

Pathwise uniqueness of one-dimensional SDEs driven by one-sided stable processes

Probability 2013-05-24 v1

Abstract

For α(0,1)\alpha\in (0,1), we consider stochastic differential equations driven by one-sided stable processes of order α\alpha: dXt=ϕ(Xt) dZt.dX_t= \phi(X_{t-})\ dZ_t. We prove that pathwise uniqueness holds for this equation under the assumptions that ϕ\phi is continuous, non-decreasing and positive on R\R. A counterexample is given to show that the positivity of ϕ\phi 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

R2 v1 2026-06-22T00:20:59.331Z