NON-LIPSCHITZ STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY MULTI-PARAMETER BROWNIAN MOTIONS

DOI10.1142/S021949370600175XzbMath1108.60054OpenAlexW2024407470MaRDI QIDQ3421618

Jingyang Zhu, Xicheng Zhang

Publication date: 7 February 2007

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021949370600175x

zbMATH Keywords

Bihari's inequalitydiscretizing approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (11)

Exponential integrability of Itô's processes ⋮ NON-LIPSCHITZ BACKWARD STOCHASTIC VOLTERRA TYPE EQUATIONS WITH JUMPS ⋮ Stochastic inclusions and set-valued stochastic equations with mixed integrals in the plane ⋮ Anticipated backward stochastic differential equations with non-Lipschitz coefficients ⋮ Explicit solutions for multivalued stochastic differential equations ⋮ Anticipated backward stochastic differential equations with jumps under the non-Lipschitz condition ⋮ Set-Valued Stochastic Integrals and Equations with Respect to Two-Parameter Martingales ⋮ ON STOCHASTIC EVOLUTION EQUATIONS WITH NON-LIPSCHITZ COEFFICIENTS ⋮ A class of backward stochastic Bellman-Bihari's inequality and its applications ⋮ Multivalued stochastic differential equations with non-Lipschitz coefficients ⋮ Harnack inequalities for SDEs driven by cylindrical \(\alpha\)-stable processes

Cites Work

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• A Wong–Zakai type approximation for two-parameter processes1
• Quasi-sure analysis of two-parameter stochastic differential equations
• The canonic diffusion above the diffeomorphism group of the circle
• Martingales and stochastic integrals for processes with a multi-dimensional parameter

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