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

TL;DR

This paper introduces the concept of $$-strong solutions for 1D stochastic differential equations with discontinuous, sign-changing diffusion coefficients, establishing conditions for their existence and uniqueness, and explaining the failure of strong uniqueness.

Contribution

It defines $$-strong solutions, provides conditions for their existence and uniqueness, and constructs explicit solutions and the set of all weak solutions for such SDEs.

Findings

Existence of $$-strong solutions under certain conditions.

Explicit construction of $$-strong and weak solutions.

Characterization of all weak solutions and explanation of non-uniqueness.

Abstract

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.