Convergence rate of stability problems of SDEs with (dis-)continuous coefficients

Hashimoto Hashimoto, Takahiro Tsuchiya

Published 2014-01-18, updated 2014-04-02Version 4

We consider the stability problems of one dimensional SDEs when the diffusion coefficients satisfy the so called Nakao-Le Gall condition. The explicit rate of convergence of the stability problems are given by the Yamada-Watanabe method without the drifts. We also discuss the convergence rate for the SDEs driven by the symmetric $\alpha$ stable process. These stability rate problems are extended to the case where the drift coefficients are bounded and in $L^1$. It is shown that the convergence rate is invariant under the removal of drift method for the SDEs driven by the Wiener process.