English

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 α\alpha stable process. These stability rate problems are extended to the case where the drift coefficients are bounded and in L1L^1. 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