An improved uniqueness result for a system of stochastic differential equations related to the stochastic wave equation.

2019 
We improve on the strong uniqueness results of [GLM+17], which deal with the following system of SDE. \begin{align*} dX_t&=Y_tdt \\ dY_t&=|X_{t}|^{\alpha}dB_t \end{align*} and $X_0=x_0,Y_0=y_0$. For $(x_0,y_0)\ne(0,0)$, we show that short-time uniqueness holds for $\alpha>-1/2$.
    • Correction
    • Source
    • Cite
    • Save
    • Machine Reading By IdeaReader
    3
    References
    0
    Citations
    NaN
    KQI
    []