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Contents of PMS, Vol. 19, Fasc. 1,
pages 55 - 62
 

UNICITÉ TRAJECTORIELLE DES ÉQUATIONS DIFFÉRENTIELLES STOCHASTIQUES AVEC TEMPS LOCAL

Youssef Ouknine

Abstract: We study the pathwise uniqueness of a one-dimensional stochastic differential equation driven by white noise and involving local time of the unknown process. We introduce a very weak condition on the diffusion term which is sufficient for the pathwise uniqueness if one considers an equation of the form

integral t integral integral Xt = x0 + s(s,x,Xs)W (ds,dx)+ Lat(X)n(da), 0 E R
where n stands for a signed Radon measure on R.

2000 AMS Mathematics Subject Classification: Primary: -; Secondary: -;

Key words and phrases: -

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