Convergence rate of stability problems of SDEs with (dis-)continuous coefficients

Hashimoto Hashimoto; Takahiro Tsuchiya

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arXiv · 1401.4542

Convergence rate of stability problems of SDEs with (dis-)continuous coefficients

Hashimoto Hashimoto·Takahiro Tsuchiya

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Abstract

We consider the stability problems of one dimensional SDEs when the diffusion coefficients satisfy the so called Nakao-Le Gall condition. The explicit rate of convergence of the stability problems are given by the Yamada-Watanabe method without the drifts. We also discuss the convergence rate for the SDEs driven by the symmetric $α$ stable process. These stability rate problems are extended to the case where the drift coefficients are bounded and in $L^1$. It is shown that the convergence rate is invariant under the removal of drift method for the SDEs driven by the Wiener process.

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BibTeX RIS

Hashimoto Hashimoto, Takahiro Tsuchiya. 2014-04-02. Convergence rate of stability problems of SDEs with (dis-)continuous coefficients. https://arxiv.org/abs/1401.4542

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