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Well-posedness of stochastic variational inequalities with discontinuous drifts.
- Source :
-
Stochastics & Dynamics . May2024, Vol. 24 Issue 3, p1-27. 27p. - Publication Year :
- 2024
-
Abstract
- In this paper, we investigate the well-posedness of stochastic variational inequalities on ℝ d with discontinuous drift coefficients. First, a case that drift coefficients are only integrable on (0 , T) × ℝ d is considered. Utilizing Girsanov's theorem, Zvonkin's transform and Yamada–Watanabe's principle, we derive the weak well-posedness if d > 1 and strong well-posedness if d = 1. Second, if the drift coefficients are piecewise Lipschitz continuous and d = 1 , strong well-posedness is also obtained by virtue of a transform which regularizes the discontinuous drifts. [ABSTRACT FROM AUTHOR]
- Subjects :
- *DISCONTINUOUS coefficients
Subjects
Details
- Language :
- English
- ISSN :
- 02194937
- Volume :
- 24
- Issue :
- 3
- Database :
- Academic Search Index
- Journal :
- Stochastics & Dynamics
- Publication Type :
- Academic Journal
- Accession number :
- 178977604
- Full Text :
- https://doi.org/10.1142/S0219493724500199