A class of stochastic differential equations with pathwise unique solutions

Authors

B. Rajeev, Indian Statistical Institute Bangalore
K. Suresh Kumar, Indian Institute of Technology Bombay

Article Type

Research Article

Publication Title

Indian Journal of Pure and Applied Mathematics

Abstract

We propose a new method viz., using stochastic partial differential equations to study the pathwise uniqueness of stochastic (ordinary) differential equations. We prove the existence and pathwise uniqueness of a class of stochastic differential equations with coefficients in suitable Hermite-Sobolev class using our approach.

First Page

343

Last Page

355

DOI

10.1007/s13226-016-0191-6

Publication Date

6-1-2016

Recommended Citation

Rajeev, B. and Suresh Kumar, K., "A class of stochastic differential equations with pathwise unique solutions" (2016). Journal Articles. 4049.
https://digitalcommons.isical.ac.in/journal-articles/4049