Path-by-path uniqueness of multidimensional SDE's on the plane with nondecreasing coefficients

Abstract

In this paper we study path-by-path uniqueness for multidimensional stochastic differential equations driven by the Brownian sheet. We assume that the drift coefficient is unbounded, verifies a spatial linear growth condition and is componentwise nondeacreasing. Our approach consists of showing the result for bounded and componentwise nondecreasing drift using both a local time-space representation and a law of iterated logarithm for Brownian sheets. The desired result follows using a Gronwall type lemma on the plane. As a by product, we obtain the existence of a unique strong solution of multidimensional SDEs driven by the Brownian sheet when the drift is non-decreasing and satisfies a spatial linear growth condition.

arXiv comment24 pages

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Cited by in corpus (3)

• Malliavin differentiability of solutions of hyperbolic stochastic partial differential equations with irregular drifts
• Stochastic integration with respect to local time of the Brownian sheet and regularising properties of Brownian sheet paths
• Smoothness of solutions of hyperbolic stochastic partial differential equations with $L^{\infty }$-vector fields