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^*

^*此作品的通讯作者

Huazhong University of Science and Technology
Wuhan University

科研成果: 期刊稿件 › 文章 › 同行评审

9 引用（Scopus）

摘要

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.

源语言	英语
页（从-至）	302-321
页数	20
期刊	SIAM Journal on Mathematical Analysis
卷	43
期	1
DOI	https://doi.org/10.1137/10078952X
出版状态	已出版 - 2011
已对外发布	是

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KW - DiPerna-Lions theory

KW - Limit theorem

KW - Stochastic differential equation

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DO - 10.1137/10078952X

M3 - Article

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Limit theorems for stochastic differential equations with discontinuous coefficients

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