Strong solutions of a stochastic differential equation with irregular random drift

Helge Holden, Kenneth H. Karlsen, Peter H. C. Pang

We present a well-posedness result for strong solutions of one-dimensional stochastic differential equations (SDEs) of the form $$\mathrm{d} X= u(ω,t,X)\, \mathrm{d} t + \frac12 σ(…