Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2019/iii/paper-202/3/2/solution

Since , applying Itô formula to after gives
Before , both sides vanish. Since is a stopping time determined by , this is a strong solution of a stochastic differential equation.
Taking gives , whereas any gives a solution that remains zero until ; these differ with positive probability while using the same Brownian motion and initial value. Therefore pathwise uniqueness fails.

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