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Uniqueness of a
three-dimensional stochastic differential equation
Carl Mueller and Giang Truong
Vol. 13 (2020), No. 3, 433–444
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Abstract |
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In order to extend the study of the uniqueness property of multidimensional systems of stochastic differential equations, we look at the following three-dimensional system of equations, of which the two-dimensional case has been well studied: , , . We prove that if and , then the system of equations has a unique solution in the strong sense. |
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Keywords
white noise, stochastic differential equations, uniqueness
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Mathematical Subject Classification 2010
Primary: 60H10
Secondary: 34F05
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Milestones
Received: 3 October 2019
Revised: 18 February 2020
Accepted: 23 May 2020
Published: 14 July 2020
Communicated by Amarjit Singh Budhiraja
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Authors |
| Carl Mueller | |
| Department of Mathematics University of Rochester Rochester, NY United States |
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| Giang Truong | |
| Department of Mathematics University of Rochester Rochester, NY United States |
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