Strong \(p\)-completeness of stochastic differential equations and the existence of smooth flows on noncompact manifolds (Q1343617)

An SDE \(dx_ t = \sum^ m_{i = 1} X^ i(x_ t) \circ dB^ i_ t + A(x_ t) dt\) on a (non-necessarily compact) manifold is complete at \(x\) if the explosion time \(\xi(x)\) of the solution \(F_ t(x)\) starting at \(x\) is \(\infty\), complete if \(\xi(x) = \infty\), \(\forall x\), and strongly complete if \(F_ t(x)\) is jointly continuous in \((t,x)\) (continuous flow). The author introduces the notion of strong \(p\)-completeness, which implies that the solution does not explode in finite time when restricted to any compact subset \(K\) of a smooth submanifold of dimension \(p\). It is proved that, on an \(n\)-dimensional manifold, strong \((n - 1)\)- completeness implies strong completeness. As a consequence of a criterion for strong \(p\)-completeness, it is deduced that for strong completeness it is sufficient to have completeness at one point and \[ \sup_{x \in K} E \sup_{s \leq t} | T_ x F_ s|^{n - 1 + \delta} < \infty \] for some \(\delta > 0\), being \(T_ x\) the differential at \(x\). Furthermore, this condition holds for every exponent \(p\) if the SDE is complete at one point, \(| \nabla X |\) is bounded, and \[ 2 \langle \nabla A^ X (v),v\rangle + \sum^ m_{i = 1} \langle R(X^ i,v)(X^ i),v\rangle \leq c| v|^ 2, \] where \(\nabla\) is the Levi-Civita connection, \(R\) is the curvature, and \(A^ X\) is the first order term in the infinitesimal operator associated to the equation. Therefore, in this case the SDE is strongly complete. The flow consists of diffeomorphisms if the ``adjoint'' equation \(dy_ t = X(y_ t) \circ dB_ t - A(y_ t) dt\) verifies a similar property. As an application, it is proved that an Itô SDE in \(\mathbb{R}^ n\) with \(C^ 2\) coefficients is strongly complete if \[ | X(x)| \leq c(1 + | x|^ 2)^{1/2},\quad \langle x,Ax\rangle \leq c(1 + | x|^ 2), \] \[ | \nabla X(x)|^ 2 \leq c[1 + \log (1 + | x|^ 2)], \quad \langle \nabla A(x)(v),v\rangle \leq c[1 + \log(1 + | x|^ 2)]| v|^ 2 \] \(\forall x,v \in \mathbb{R}^ n\), for some constant \(c\). Also, similar results on strong completeness of SDE are given on a complete Riemannian manifold with a pole, and without the existence of the pole in the case where the stochastic differential system \((X,A)\) is a Brownian system with drift.