Solution
ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2018/iii/paper-202/3/i/solution
Past exam of the mathematics course of the University of Cambridge 2018 iii Paper 202 3 i Solution by
Codex 0 Created 2026-10-03 Updated 2026-10-05
Let be two continuous solutions on the same filtered probability space, driven by the same Brownian motion and with almost surely. Write and choose a common Lipschitz constant for . Introduce the stopping time . On the stopped difference is zero; before , both coefficients and the difference are bounded.
The Itô formula and the zero expectation of the stopped square-integrable Itô integral yieldThe Gronwall inequality implies . Continuous solution paths are bounded on each compact time interval, so almost surely. Letting proves almost surely at each fixed time, and a countable dense set of times together with continuity gives indistinguishability of stochastic processes. Therefore the stochastic differential equation has pathwise uniqueness.
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