SDEs with no strong solution arising from a problem of stochastic control

Alexander M. G. Cox, Benjamin A. Robinson

Research output: Working paper / PreprintPreprint

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Abstract

We study a two-dimensional stochastic differential equation, which has a weak solution but no strong solution. We show that this SDE shares notable properties with Tsirelson's example of a one-dimensional SDE with no strong solution. In contrast to Tsirelson's equation, which has a non-Markovian drift, we consider a strong Markov martingale with Markovian diffusion coefficient. We show that there is no strong solution of the SDE and that the natural filtration of a weak solution is generated by a Brownian motion. We also discuss an application of our results to a stochastic control problem for martingales with fixed quadratic variation in a radially symmetric environment.
Original languageEnglish
Publication statusSubmitted - 5 May 2022

Keywords

  • math.PR
  • 60G44, 60H10 (Primary), 93E20 (Secondary)

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