A note on strong solutions of stochastic differential equations with a discontinuous drift coefficient
A note on strong solutions of stochastic differential equations with a discontinuous drift coefficient
The existence of a mean‐square continuous strong solution is established for vector‐valued Itô 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 considered as an …