TY - JOUR
T1 - Stability problem for one-dimensional stochastic differential equations with discontinuous drift
AU - Taguchi, Dai
PY - 2016/11/1
Y1 - 2016/11/1
N2 - We consider one-dimensional stochastic differential equations (SDEs) with irregular coefficients. The goal of this paper is to estimate the Lp(Ω)-difference between two SDEs using a norm associated to the difference of coefficients. In our setting, the (possibly) discontinuous drift coefficient satisfies a one-sided Lipschitz condition and the diffusion coefficient is bounded, uniformly elliptic and Hölder continuous. As an application of this result, we consider the stability problem for this class of SDEs.
AB - We consider one-dimensional stochastic differential equations (SDEs) with irregular coefficients. The goal of this paper is to estimate the Lp(Ω)-difference between two SDEs using a norm associated to the difference of coefficients. In our setting, the (possibly) discontinuous drift coefficient satisfies a one-sided Lipschitz condition and the diffusion coefficient is bounded, uniformly elliptic and Hölder continuous. As an application of this result, we consider the stability problem for this class of SDEs.
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U2 - 10.1007/978-3-319-44465-9_4
DO - 10.1007/978-3-319-44465-9_4
M3 - Article
AN - SCOPUS:84996522081
SN - 0075-8434
VL - 2168
SP - 97
EP - 121
JO - Lecture Notes in Mathematics
JF - Lecture Notes in Mathematics
ER -