Stochastic differential equations with discontinuous diffusion coefficients

DOI10.1090/TPMS/1201MaRDI QIDQ6050286zbMATH OpenOpenAlexFDO

Authors Soledad Torres, Lauri Viitasaari

Publication date 12 October 2023

Published in Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1908.03183

zbMATH Keywords

bounded variationdiscontinuityfractional calculusHölder continuitystochastic differential equation

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We study one-dimensional stochastic differential equations of form $d{X}_t=sigma(X_t)d{Y}_t$, where $Y$ is a suitable H"older continuous driver such as the fractional Brownian motion $B^H$ with $H>frac12$. The innovative aspect of the present paper lies in the assumptions on diffusion coefficients $sigma$ for which we assume very mild conditions. In particular, we allow $sigma$ to have discontinuities, and as such our results can be applied to study equations with discontinuous diffusions.

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Cited in

(3)

• Stochastic serotonin model with discontinuous drift
• On diffusion approximation with discountinuous coefficients.
• Difference methods for stochastic differential equations with discontinuous coefficients

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