$L^p(Ω)$-Difference of One-Dimensional Stochastic Differential Equations with Discontinuous Drift

Dai Taguchi

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arXiv · 1404.2358

$L^p(Ω)$-Difference of One-Dimensional Stochastic Differential Equations with Discontinuous Drift

Dai Taguchi

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Abstract

We consider a one-dimensional stochastic differential equations (SDE) with irregular coefficients. The purpose of this paper is to estimate the $L^p(Ω)$-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 Hölder continuous. As an application, we consider the stability problem.

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BibTeX RIS

Dai Taguchi. 2014-04-09. $L^p(Ω)$-Difference of One-Dimensional Stochastic Differential Equations with Discontinuous Drift. https://arxiv.org/abs/1404.2358

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