On the pathwise uniqueness of solutions of stochastic differential equations driven by symmetric stable Lévy processes1

^1. Research supported by Hassan II Academy of Sciences and Technology.

Abstract

We investigate a sufficient condition for pathwise uniqueness property for 1D stochastic differential equation driven by symmetric α-stable Lévy process, where α ∈ (1, 2).

Keywords:

• pathwise uniqueness
• stochastic differential equation
• time change
• α-stable Lévy process

AMS Subject Classification:

• Primary 60H10
• Secondary 60J60

Acknowledgements

The authors would like to thank the editor and referees for several helpful corrections and suggestions that led to many improvements in the paper.

Notes

^2. [email protected]

^1. Research supported by Hassan II Academy of Sciences and Technology.

Additional information

Notes on contributors

R. Belfadli

2. 2. [email protected]