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 |
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Pages (from-to) | 302-321 |
Number of pages | 20 |
Journal | SIAM Journal on Mathematical Analysis |
Volume | 43 |
Issue number | 1 |
DOIs | |
Publication status | Published - 2011 |
Externally published | Yes |
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