On one-dimensional stochastic differential equations involving the maximum process
Abstract
We prove existence and pathwise uniqueness results for four different types of stochastic differential equations (SDEs) perturbed by the past maximum process and/or the local time at zero. Along the first three studies, the coefficients are no longer Lipschitz. The first type is the equation eq1 Xt=∫0tσ (s,Xs)dWs+∫0tb(s,Xs)ds+α 0≤ s≤ tXs. The second type is the equation eq2 l Xt =0tσ (s,Xs)dWs+0tb(s,Xs)ds+α 0≤ s≤ tXs\,\,+Lt0, Xt ≥ 0, ∀ t≥ 0. The third type is the equation eq3 Xt=x+Wt+∫0tb(Xs,0≤ u≤ sXu)ds. We end the paper by establishing the existence of strong solution and pathwise uniqueness, under Lipschitz condition, for the SDE e2 Xt=+∫0t (s,Xs)dWs +∫0t b(s,Xs)ds +0≤ s≤ tXs + 0≤ s ≤ tXs.
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