Reciprocal barrier proof of scalar diffusion comparison

ID: reciprocal-barrier-proof-of-scalar-diffusion-comparison

Before the difference hits zero, its diffusion coefficient has magnitude at most and its drift is at least . Itô's formula bounds the drift of by . Its stochastic integrand is bounded by , making expectation legitimate on finite horizons. The Gronwall inequality and the value then exclude finite-time contact from a strictly positive starting difference.

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