$\varphi$-strong solutions and uniqueness of 1-dimensional stochastic differential equations

Mihai N. Pascu

Published 2013-09-06Version 1

In this paper we consider stochastic differential equations with discontinuous diffusion coefficient of varying sign, for which weak existence and uniqueness holds but strong uniqueness fails. We introduce the notion of $\varphi $-strong solution, and we show that under certain conditions on the diffusion coefficient a $\varphi$-strong solution exists and it is unique. We also give a construction of a $\varphi$-strong solution and a weak solution in terms of the notion of \emph{i.i.d. sign choice} introduced in the paper, and we give an explicit representation of the set of all weak solutions, which in particular explains the reason for the lack of strong existence and uniqueness.