Continuity in a pathwise sense with respect to the coefficients of solutions of stochastic differential equations

DOI10.1016/S0304-4149(97)00024-0MaRDI QIDQ1275924zbMATH OpenOpenAlexFDO

Authors Thomas Skov Knudsen

Publication date 14 January 1999

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4149(97)00024-0

zbMATH Keywords

pathwise continuity stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Review text

Pathwise robustness of SDEs of the form \[ X_t(x)=x+\int _0^tb(X_s(x))ds +\int _0^t\sigma (X_s(x))dW_s \] with respect to changes of the coefficients is investigated, where \(b\) and \(\sigma \) are Lipschitz continuous. Pathwise continuity with respect to changes of the drift \(b\) is proven under a suitable smoothness condition on \(\sigma \). Furthermore, it is shown that an analogous statement with respect to changes of \(\sigma \) is not true in general. However if the class of diffusion coefficients is restricted to a family of suitably commuting vector field, then a continuity with respect to the sup-norm on the coefficients and some of their derivatives are shown to be satisfied.

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