A note on strong solutions of stochastic differential equations with a discontinuous drift coefficient

  • 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.

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Author:Nikolaos Halidias, Peter E. Kloeden
Parent Title (English):Journal of applied mathematics and stochastic analysis
Place of publication:New York, NY
Document Type:Article
Date of Publication (online):2006/06/07
Year of first Publication:2006
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2006/06/07
Issue:Article ID 73257
Page Number:6
First Page:1
Last Page:6
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.
Institutes:Informatik und Mathematik / Mathematik
Dewey Decimal Classification:5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik
Licence (German):License LogoCreative Commons - Namensnennung 3.0