Consider the following SDE with $X_0 = 1$, $$ dX_t = X_t\operatorname{sign}(X_t) \, dt + X_t \, dW_t, $$ where $\operatorname{sign}(x) = \mathbb{1}\{x \ge 0\}$. How am I supposed to solve this SDE?
Solving SDE with sign function in drift term?
Van Tom
- 1