We prove quantitative pathwise stability estimates for one-dimensional stochastic differential equations driven by a common Brownian motion and a common symmetric $\alpha$-stable process, where $\alpha\in(1,2)$. The comparison is made under a synchronous coupling and is measured by $\sup_{0\le t\le T}\mathbb E|X_t-\wt X_t|^{\alpha-1}$. The perturbed drift and Brownian diffusion coefficients are spatially Lipschitz, while the perturbed stable jump coefficient may be H\"older continuous down to the critical exponent $1/\alpha$. The estimate is expressed in terms of the initial error and three law-weighted coefficient errors: the drift error $B$, the Brownian diffusion error $A$, and the stable jump-coefficient error $S$. The Brownian component produces a second-order correction term in It\^o's formula. This term is controlled by a second-derivative estimate for a Komatsu-type mollification of $|x|^{\alpha-1}$. For stable jump coefficients with H\"older exponent $\wt\eta>1/\alpha$, the estimate gives explicit power rates in $B,A,S$; at $\wt\eta=1/\alpha$, it gives a logarithmic rate. The same method yields estimates with predictable forcing errors and time-uniform tail bounds via stopped quasi-martingales.
We consider a fractional Brownian motion $B$ with Hurst index $0<H<1/2$, and its maximiser $\tau$ on $[0,1]$. We show that the rescaled process $a^H(B_{\tau+\,\cdot\,/a}-B_\tau)$ converges in $C_{\mathrm{loc}}(\mathbb R)$ to a limiting tangent law that is $H$-self-similar, supported on nonpositive paths pinned at zero,...
We study a penalisation problem for two-dimensional Brownian motion. Starting from the Wiener measure, we consider a family of probability measures obtained by weighting paths by a nonnegative functional $F_t$ depending on $t \geq 0$, $F_t$ being measurable with respect to the $\sigma$-algebra generated by the path up...
Joseph Najnudel, Thammadol Tansrivorarat· 0 citations
In this work, we are concerned with a class of multi-dimensional time-inhomogeneous stochastic differential equations (SDEs) on $\R^d$ driven by pure-jump L\'evy processes, where the drift coefficient $b(t,x)$ satisfies $\lim_{t\to \infty}b(t,x) =0$ for every $x\in \R^d$. On account of three regimes associated with the...
We prove a functional stable limit theorem for the discretization error process of a local linearization scheme for stochastic differential equations with additive Brownian noise. The scheme includes the conditional mean of the second-order term involving the Brownian increment in the Taylor expansion of the drift. The...
We prove absolute continuity of the running maximum $X^{\ast}_T=\sup_{0\leq s\leq T}X_s$ of one-dimensional time-inhomogeneous L\'evy--It\^o diffusions driven by a Brownian motion and an independent non-truncated pure-jump L\'evy process. Using Bismut's directional Malliavin calculus on the Wiener--Poisson space togeth...
We study the one-dimensional stochastic partial differential equation \[ d_t X_t(x)=\frac{1}{2}\Delta X_t(x) +b_1\unicode{x1D7D9}_{\{X_t(x)>0\}} +\sqrt{X_t(x)}\dot W(t,x), \] where $b_1>0$, $\dot W$ is space-time white noise, and the initial condition is a nonnegative, compactly supported continuous function. We prove...
Leonid Mytnik, Johanna Weinberger· 0 citations
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