Strong well-posedness of additive-noise equations with bounded continuous drift

ID: strong-well-posedness-of-additive-noise-equations-with-bounded-continuous-drift

The zero extension of a scale diffusion coefficient at finite endpoints makes the transformed equation globally Lipschitz. Inverting its solution gives the original additive-noise equation. The pathwise bound prevents the inverse scale from reaching infinity at any finite time. This proves global strong existence and pathwise uniqueness even when the original drift is not Lipschitz.

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