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.
| Author: | Nikolaos Halidias, Peter E. Kloeden |
|---|---|
| URN: | urn:nbn:de:hebis:30-27420 |
| DOI: | https://doi.org/doi:10.1155/JAMSA/2006/73257 |
| ISSN: | 1048-9533 |
| Parent Title (English): | Journal of applied mathematics and stochastic analysis |
| Publisher: | Hindawi |
| Place of publication: | New York, NY |
| Document Type: | Article |
| Language: | English |
| Date of Publication (online): | 2006/06/07 |
| Year of first Publication: | 2006 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2006/06/07 |
| Volume: | 2006 |
| Issue: | Article ID 73257 |
| Page Number: | 6 |
| First Page: | 1 |
| Last Page: | 6 |
| Note: | 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. |
| HeBIS-PPN: | 191267783 |
| Institutes: | Informatik und Mathematik / Mathematik |
| Dewey Decimal Classification: | 5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik |
| Licence (German): |  Creative Commons - Namensnennung 3.0 |
