Convergence rate of stability problems of SDEs with (dis-)continuous coefficients
Probability
2014-04-03 v4
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 stable process. These stability rate problems are extended to the case where the drift coefficients are bounded and in . It is shown that the convergence rate is invariant under the removal of drift method for the SDEs driven by the Wiener process.
Keywords
Cite
@article{arxiv.1401.4542,
title = {Convergence rate of stability problems of SDEs with (dis-)continuous coefficients},
author = {Hashimoto Hashimoto and Takahiro Tsuchiya},
journal= {arXiv preprint arXiv:1401.4542},
year = {2014}
}
Comments
Revised argument in $L^p$-estimation