I have an SDE, I was able to first apply Girsanov's theorem then establish Ito's existence and uniqueness under the new measure. I'm just wondering if this implies that under the original measure Ito's existence and uniqueness must be satisfied as well. If it is not true, can someone provide a counterexample? Thank you.
2026-03-26 09:17:40.1774516660
Is it possible for an SDE to have a unique strong solution under one measure but not another?
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