Lack of strong completeness for stochastic flows (Q717883): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claim: author (P16): Item:Q1307068 |
||
Property / author | |||
Property / author: Michael K. R. Scheutzow / rank | |||
Revision as of 01:11, 23 February 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Lack of strong completeness for stochastic flows |
scientific article |
Statements
Lack of strong completeness for stochastic flows (English)
0 references
10 October 2011
0 references
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 \(y\).
0 references
stochastic flow
0 references
strongly complete
0 references
homogenization
0 references