Timeline for Ito Diffusions with low regularity?
Current License: CC BY-SA 3.0
5 events
| when toggle format | what | by | license | comment | |
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| Jul 7, 2013 at 11:10 | comment | added | Matthias Ludewig | For a start, I would like to have the Coefficients $\sigma$ to be Lipschitz and the coefficients $b$ to be derivatives of Lipschitz functions, as in my example above. | |
| Jul 7, 2013 at 11:09 | vote | accept | Matthias Ludewig | ||
| Jul 6, 2013 at 23:00 | comment | added | Yuri Bakhtin | @Kofi: Well, it is still not clear to me what a typical example of a nonsmooth coefficient you want to consider, but yes, it should work in most reasonable situations. Weak solutions can be recast as solutions of appropriate martingale problems and probably that is the way to go, see the theory in Ethier&Kurtz. Also, smoothening is one step in the proof of Skorokhod's theorem. | |
| Jul 6, 2013 at 20:55 | comment | added | Matthias Ludewig | Thanks for your answer. Do you think that your suggestion 1) will work? | |
| Jul 6, 2013 at 19:47 | history | answered | Yuri Bakhtin | CC BY-SA 3.0 |