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arxiv: 1108.4069 · v1 · pith:WDT3QB36new · submitted 2011-08-19 · 🧮 math.PR

On the one-sided Tanaka equation with drift

classification 🧮 math.PR
keywords equationsolutiondriftlambdastronguniqueweakdistribution
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We study questions of existence and uniqueness of weak and strong solutions for a one-sided Tanaka equation with constant drift \lambda. We observe a dichotomy in terms of the values of the drift parameter: for \lambda\leq 0, there exists a strong solution which is pathwise unique, thus also unique in distribution; whereas for \lambda>0, the equation has a unique in distribution weak solution, but no strong solution (and not even a weak solution that spends zero time at the origin). We also show that strength and pathwise uniqueness are restored to the equation via suitable "Brownian perturbations".

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