Stratonovich stochastic differential equation with irregular coefficients: Girsanov’s example revisited

Abstract

In this paper, we study the Stratonovich stochastic differential equation $\mathrm{d}X=|X|^{\alpha }\circ \mathrm{d}B$, $\alpha \in (-1,1)$, which has been introduced by Cherstvy et al. (New J. Phys. 15 (2013) 083039) in the context of analysis of anomalous diffusions in heterogeneous media. We determine its weak and strong solutions, which are homogeneous strong Markov processes spending zero time at $0$: for $\alpha \in (0,1)$, these solutions have the form \begin{equation*}X_{t}^{\theta }=((1-\alpha)B_{t}^{\theta })^{1/(1-\alpha )},\end{equation*} where $B^{\theta }$ is the $\theta $-skew Brownian motion driven by $B$ and starting at $\frac{1}{1-\alpha }(X_{0})^{1-\alpha }$, $\theta \in [-1,1]$, and $(x)^{\gamma }=|x|^{\gamma }\operatorname{sign}x$; for $\alpha \in (-1,0]$, only the case $\theta =0$ is possible. The central part of the paper consists in the proof of the existence of a quadratic covariation $[f(B^{\theta }),B]$ for a locally square integrable function $f$ and is based on the time-reversion technique for Markovian diffusions.