A comparison theorem for stochastic differential equations under the Novikov condition

DOI10.1007/S11118-014-9413-XMaRDI QIDQ471045zbMATH OpenOpenAlexFDO

Authors A. Lanconelli

Publication date 13 November 2014

Published in Potential Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1307.3455

zbMATH Keywords

comparison theoremsstochastic differential equationsGirsanov theoremconvex envelopeNovikov condition

Mathematics Subject Classification ID

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

Abstract: We consider a system of stochastic differential equations driven by a standard n-dimensional Brownian motion where the drift coefficient satisfies a Novikov-type condition while the diffusion coefficient is the identity matrix. We define a vector Z of square integrable stochastic processes with the following property: if the filtration of the translated Brownian motion obtained from the Girsanov transform coincides with the one of the driving noise then Z coincides with the unique strong solution of the equation; otherwise the process Z solves in the strong sense a related stochastic differential inequality. This fact together with an additional assumption will provide a comparison result similar to well known theorems obtained in the presence of strong solutions.

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Cited in

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• A few comments on a result of A. Novikov and Girsanov's theorem

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