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  • 标题:On the one-sided Tanaka equation with drift
  • 本地全文:下载
  • 作者:Karatzas, Ioannis ; Shiryaev, Albert N. ; Shkolnikov, Mykhaylo
  • 期刊名称:Electronic Communications in Probability
  • 印刷版ISSN:1083-589X
  • 出版年度:2011
  • 卷号:16
  • 页码:664-677
  • DOI:10.1214/ECP.v16-1665
  • 出版社:Electronic Communications in Probability
  • 摘要:We study questions of existence and uniqueness of weak and strong solutions for a one-sided Tanaka equation with constant drift lambda. We observe a dichotomy in terms of the values of the drift parameter: for $\lambda\leq 0$, there exists a strong solution which is pathwise unique, thus also unique in distribution; whereas for $\lambda > 0$, the equation has a unique in distribution weak solution, but no strong solution (and not even a weak solution that spends zero time at the origin). We also show that strength and pathwise uniqueness are restored to the equation via suitable ``Brownian perturbations".
  • 关键词:Stochastic differential equation, weak existence, weak uniqueness, strong existence, strong uniqueness, Tanaka equation, skew Brownian motion, sticky Brownian motion, comparison theorems for diffusions;60H10, 60J60, 60J65
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