Limit theorems for stochastic differential equations with discontinuous coefficients

Jie Ren, Xicheng Zhang*

*Corresponding author for this work

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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.

Original languageEnglish
Pages (from-to)302-321
Number of pages20
JournalSIAM Journal on Mathematical Analysis
Volume43
Issue number1
DOIs
Publication statusPublished - 2011
Externally publishedYes

Keywords

  • DiPerna-Lions theory
  • Limit theorem
  • Stochastic differential equation

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Ren, J., & Zhang, X. (2011). Limit theorems for stochastic differential equations with discontinuous coefficients. SIAM Journal on Mathematical Analysis, 43(1), 302-321. https://doi.org/10.1137/10078952X