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Kasper Larsen

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Preprint Sep 2026

Strict SDE Comparison for Cusp Coefficients and Counterexamples

We provide a tractable sufficient condition for strict comparison for solutions of the one-dimensional stochastic differential equation \[ d X_t^x=\sigma(X_t^x)\,d B_t, \quad X_0^x=x\in I=(\ell,r), \] for $\sigma>0$ and continuous. Our proof is based on a two-dimensional Lyapunov argument, which allows us to prove stri...

Kasper Larsen · 0 citations

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