Existence of strong solutions for Itô's stochastic equations via approximations: revisited

DOI10.1007/S40072-022-00273-7MaRDI QIDQ2093296zbMATH OpenOpenAlexWikidataFDO

Authors István Gyöngy, N. V. Krylov

Publication date 7 November 2022

Published in Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2107.14384

zbMATH Keywords

Euler's approximationsstochastic differential equationsstrong solutions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Singular stochastic partial differential equations (60H17)

Abstract: Given strong uniqueness for an It^o's stochastic equation, we prove that its solution can beconstructed on "any" probability space by using, for example, Euler's polygonal approximations. Stochastic equations in $mathbb{R}^d$ and in domains in $mathbb{R}^d$ are considered. This is almost a copy of an old article in which we correct errors in the original proof of Lemma 4.1 found by Martin Dieckmann in 2013. We present also a new result on the convergence of "tamed Euler approximations" for SDEs with locally unbounded drifts, which we achieve by proving an estimate for appropriate exponential moments.

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Cited in

(13)

• Existence of strong solutions for Itô's stochastic equations via approximations
• scientific article; zbMATH DE number 3862165 (Why is no real title available?)
• On Strong Solutions of Itô Stochastic Equations with Jumps
• Weak and strong solutions of Generalized Itô's Stochastic Functional Differential Equations
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