Limit theorems for stochastic differential equations with discontinuous coefficients

Jie Ren; Xicheng Zhang

doi:10.1137/10078952X

Limit theorems for stochastic differential equations with discontinuous coefficients

Jie Ren
, Xicheng Zhang^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

9 Citations (Scopus)

Abstract

In this article we prove a transference principle for stochastic differential equations (SDEs) with discontinuous coefficients. In particular, the well-posedness of SDEs and Fokker-Planck equations with irregular coefficients is established.

Original language	English
Pages (from-to)	302-321
Number of pages	20
Journal	SIAM Journal on Mathematical Analysis
Volume	43
Issue number	1
DOIs	https://doi.org/10.1137/10078952X
Publication status	Published - 2011
Externally published	Yes

Keywords

DiPerna-Lions theory
Limit theorem
Stochastic differential equation

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10.1137/10078952X

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abstract = "In this article we prove a transference principle for stochastic differential equations (SDEs) with discontinuous coefficients. In particular, the well-posedness of SDEs and Fokker-Planck equations with irregular coefficients is established.",

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author = "Jie Ren and Xicheng Zhang",

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AU - Zhang, Xicheng

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AB - In this article we prove a transference principle for stochastic differential equations (SDEs) with discontinuous coefficients. In particular, the well-posedness of SDEs and Fokker-Planck equations with irregular coefficients is established.

KW - DiPerna-Lions theory

KW - Limit theorem

KW - Stochastic differential equation

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U2 - 10.1137/10078952X

DO - 10.1137/10078952X

M3 - Article

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JO - SIAM Journal on Mathematical Analysis

JF - SIAM Journal on Mathematical Analysis

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Limit theorems for stochastic differential equations with discontinuous coefficients

Abstract

Keywords

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