Lack of strong completeness for stochastic flows (Q717883): Difference between revisions
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English | Lack of strong completeness for stochastic flows |
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Lack of strong completeness for stochastic flows (English)
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10 October 2011
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An example of a stochastic differential equation with locally Lipschitz continuous coefficients with linear growth is constructed which does not generate a stochastic flow of homeomorphisms. The example is two-dimensional and of the form \(dx=\sigma(x,y)\,dW(t)\), \(dy=0\), where \(\sigma\) has increasingly strong oscillations for \(x\to\infty\) with frequencies depending on \(y\).
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stochastic flow
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strongly complete
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homogenization
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