Path-by-path uniqueness for stochastic differential equations under Krylov-Röckner condition

Abstract

We show that any stochastic differential equation (SDE) driven by Brownian motion with drift satisfying the Krylov-Röckner condition has exactly one solution in an ordinary sense for almost every trajectory of the Brownian motion. Consequentially, such SDE is strongly complete and forms a random dynamical system. Also, a further application to a boundary value problem is discussed.

applications of path-by-path uniqueness added in v2