Solution of SDE with time power law singular diffusion I was wondering if anything could be said at all about the well-psedness of  the following time-inhomogeneous singular diffusion SDE:
\begin{align}d X_t&=\sigma(X_t,t ) d W_t  ,  \qquad  t\geq 0,  \, X_0 \in \mathbb R   \\
\sigma(x,t )&=t^{-\alpha} b(x) \qquad \, \alpha>0,
\end{align}
with $b$ as nice as required (say bounded, or Lipschitz continuous and sublinearly growing).
I can imagine for existence one needs at least $\alpha <1/2$ so that  $\sigma \in L^2(\mathbb R, [0,T])$. Perhaps something could be achieved by time reversal?
The following paper may be relvant, but I am not entirely sure of its applicability
https://projecteuclid.org/journals/annals-of-probability/volume-46/issue-3/Strong-solutions-to-stochastic-differential-equations-with-rough-coefficients/10.1214/17-AOP1208.pdf
 A: It seems natural to view the Itô process on a different time scale where it becomes a Itô diffusion, and in turn, invoke existence/uniqueness theory for Itô diffusion.
In particular, under the (deterministic) time change given by $\tau(t) = (t-2 \alpha t )^{\frac{1}{1-2 \alpha}}$ (so that  $\tau'(t) = \tau(t)^{2 \alpha}$ and $\tau(0)=0$),  the time-changed process is (in law) an Itô diffusion that satisfies $$
d \tilde{X}_t = b(\tilde{X}_t) d B_t
$$ where $\tilde{X}_t = X_{\tau(t)}$ and $B_t=\int_0^{\tau(t)} s^{-\alpha} dW_s$ is again a standard Brownian motion.  Note that this time change only makes sense for $\alpha \in [0,1/2)$.
Sufficient conditions for existence and uniqueness of the time-changed process can be found in, e.g., Section 1.2 of the monograph
Cherny, Alexander S.; Engelbert, Hans-Jürgen, Singular stochastic differential equations., Lecture Notes in Mathematics 1858. Berlin: Springer (ISBN 3-540-24007-1/pbk). viii, 128 p. (2005). ZBL1071.60003.
For more about the correspondence between an Itô diffusion and Itô process via time change, see
Øksendal, Bernt, When is a stochastic integral a time change of a diffusion?, J. Theor. Probab. 3, No. 2, 207-226 (1990). ZBL0698.60046.
