Open AccessOn the Uniqueness of Solutions of Stochastic Differential Equations with Singular Drifts
Author(s) -
Satoshi Takanobu
Publication year - 1986
Publication title -
publications of the research institute for mathematical sciences
Language(s) - English
Resource type - Journals
eISSN - 1663-4926
pISSN - 0034-5318
DOI - 10.2977/prims/1195177258
Subject(s) - mathematics , uniqueness , bounded function , lipschitz continuity , stochastic differential equation , mathematical analysis , pure mathematics
In this paper we prove the existence of solutions for a stochastic differential equation inRd, when the drift and the diffusion term are allowed to depend on a specific way on the local time of thedth coordinate of the process to be constructed. The methods of our construction are of purely probabilistic nature.
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