Stability problem for one-dimensional stochastic differential equations with discontinuous drift

DOI10.1007/978-3-319-44465-9_4MaRDI QIDQ5270096zbMATH OpenOpenAlexFDO

Authors Dai Taguchi

Publication date 22 June 2017

Published in Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1404.2358

zbMATH Keywords

discontinuous driftstabilitystochastic differential equations

Mathematics Subject Classification ID

Stochastic integral equations (60H20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: We consider a one-dimensional stochastic differential equations (SDE) with irregular coefficients. The purpose of this paper is to estimate the $L^p(Omega)$-difference of SDEs using the norm of the difference of coefficients, where the discontinuous drift coefficient satisfies a one-sided Lipschitz condition and the diffusion coefficient is bounded, uniformly elliptic and H"older continuous. As an application, we consider the stability problem.

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Cited in

(6)

• \(L_1\) and \(L_{\infty}\) stability of transition densities of perturbed diffusions
• Symmetrization associated with hyperbolic reflection principle
• Discretization of one-dimensional stochastic differential equations whose generators are divergence form with a discontinuous coefficient
• Stochastic differential equations with discontinuous diffusion coefficients
• Well-posedness of stochastic variational inequalities with discontinuous drifts
• Stochastic differential equations with irregular coefficients: mind the gap!

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