TY  - JOUR
A1  - Halidias, Nikolaos
A1  - Kloeden, Peter E.
T1  - A note on strong solutions of stochastic differential equations with a discontinuous drift coefficient
T2  - Journal of applied mathematics and stochastic analysis
N2  - The existence of a mean-square continuous strong solution is established for vector-valued Itö stochastic differential equations with a discontinuous drift coefficient, which is an increasing function, and with a Lipschitz continuous diffusion coefficient. A scalar stochastic differential equation with the Heaviside function as its drift coefficient is considered as an example. Upper and lower solutions are used in the proof.
Y1  - 2006
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/2654
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-27420
SN  - 1048-9533
N1  - Copyright © 2006 N. Halidias and P. E. Kloeden. This is an open access article distributed
under the Creative Commons Attribution License, which permits unrestricted use, distribution,
and reproduction in any medium, provided the original work is properly cited.
VL  - 2006
IS  - Article ID 73257
SP  - 1
EP  - 6
PB  - Hindawi
CY  - New York, NY
ER  -