a note on strong solutions of stochastic differential equations with a discontinuous drift coefficient注意了随机微分方程强解的不连续漂移系数.pdfVIP

A NOTE ON STRONG SOLUTIONS OF STOCHASTIC DIFFERENTIAL EQUATIONS WITH A DISCONTINUOUS DRIFT COEFFICIENT NIKOLAOS HALIDIAS AND P. E. KLOEDEN Received 11 November 2004; Revised 20 September 2005; Accepted 21 September 2005 The existence of a mean-square continuous strong solution is established for vector- ˆ valued Ito stochastic differential equations with a discontinuous drift coefficient, which is an increasing function, and with a Lipschitz continuous diffusion coefficient. A scalar stochastic differential equation with the Heaviside function as its drift coefficient is con- sidered as an example. Upper and lower solutions are used in the proof. Copyright © 2006 N. Halidias and P. E. Kloeden. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, dis- tribution, and reproduction in any medium, provided the original work is properly cited. 1. Introduction ˆ Existence theorems [9– 12] for Ito stochastic differential equations dX = f t,X dt +g t,X dW , t ∈ [0,T], (1.1) t t t t usually require that the drift and diffusion coefficients, f and g , be at least continuous (in x ) as well as satisfying a growth condition to prevent explosions. An example of Tanaka (e.g., [12, page 71]) with zero drift and a discontinuous diffusion coefficient is known to have no strong solution with zero initial value that is a solution corresponding to a specified Wiener process in contrast to a weak solution where some other Wiener process could be used. Moreover, Barlow [2] shows that a strong solution need not exist when the diffusion process is only continuous. Krylov [7] and Krylov and Liptser [8] (see also the references cited therein) have investigated existence issues for SDE with discontinuous coefficients.