Pathwise uniqueness of multi-dimensional stochastic differential equations with Hölder diffusion coefficients

Abstract

We extend Yamada-Watababe’s criterion [J. Math. Kyoto Univ., 1971, 11: 553–563] on the pathwise uniqueness of one-dimensional stochastic differential equations to a special class of multi-dimensional stochastic differential equations.

Keywords

Stochastic differential equation (SDE) / strong solution / pathwise uniqueness / Hölder continuity

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