L. Chaumont et Ra. Doney, Pathwise uniqueness for perturbed versions of Brownian motion and reflected Brownian motion, PROB TH REL, 113(4), 1999, pp. 519-534
Any solution of the functional equation
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where B is a Brownian motion, behaves like a reflected Brownian motion, exc
ept when it attains a new maximum: we call it an alpha-perturbed reflected
Brownian motion. Similarly any solution of
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behaves like a Brownian motion except when it attains a new maximum or mini
mum: we call it an alpha,beta-doubly perturbed Brownian motion. We complete
some recent investigations by showing that for all permissible values of t
he parameters alpha, alpha and beta respectively, these equations have path
wise unique solutions, and these are adapted to the filtration of B.