On the strong uniqueness of a solution to singular stochastic differential equations

Abstract

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 processes.

15 pages

References in corpus (1)

• Pathwise uniqueness for a degenerate stochastic differential equation

Cited by in corpus (2)

• Stratonovich SDE with irregular coefficients: Girsanov's example revisited
• Non-Gaussian Limit Theorem for Non-Linear Langevin Equations Driven by Lévy Noise