Homeomorphic property of solutions of SDE driven by countably many Brownian motions with non-Lipschitzian coefficients

DOI10.1016/J.BULSCI.2005.02.005MaRDI QIDQ2386019zbMATH OpenOpenAlexFDO

Authors Zongxia Liang

Publication date 22 August 2005

Published in Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.bulsci.2005.02.005

zbMATH Keywords

homotopy and homeomorphismnon-contact propertystochastic differential equationstochastic flow

Mathematics Subject Classification ID

Homotopy equivalences in algebraic topology (55P10) Sample path properties (60G17) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Review text

Consider the equation \[ dX(t)=\sum_{i=1}^\infty\sigma_i(X(t))dW_t^i+b(X(t))\,dt,\quad X(0)=x_0, \] where \(W^1, W^2,\dots\) are independent standard Wiener processes in \({\mathbb R}^d\), \(\sigma_1,\sigma_2,\dots\) are \((m,d)\)-matrix-valued continuous functions and \(b: {\mathbb R}^m\to {\mathbb R}^m\) is continuous. The main result of the paper states that if \[ \|\sigma(x)-\sigma(y)\| \leq C| x-y| \left(\log {1\over | x-y| }\right)^\alpha,\qquad | b(x)-b(y)| \leq C| x-y| \left(\log {1\over | x-y| }\right)^\beta \] (here, \(| | \sigma(x)| | ^2= \sum_{i=1}^\infty\sum_{j=1}^m\sum_{k=1}^d\sigma_{ijk}^2(x)\)), for \(| x-y| \) sufficiently small, \(0\leq\theta=\max(2\alpha,\beta)<1\), and, moreover \(\theta\) has the form \(\theta={2l\over 2n+1}\), \(l,n=0,1,2,\dots\), and \(\sigma,b\) are compactly supported, then the (unique, strong) solution of the equation constitutes a stochastic flow of homeomorphisms of \({\mathbb R}^m\).

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Cited in

(13)

• Ray-Knight theorems related to a stochastic flow
• Stochastic flows for SDEs with non-Lipschitz coefficient.
• Stochastic flows of SDEs with non-Lipschitz coefficients and singular time
• Spatial asymptotic behavior of homeomorphic global flows for non-Lipschitz SDEs
• Homeomorphic flows for multi-dimensional SDEs with non-Lipschitz coefficients
• A class of stochastic differential equations with super-linear growth and non-Lipschitz coefficients
• SDE driven by countably many Brownian motions with jumps
• ANTICIPATING MULTIDIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS WITH REFLECTIONS
• Homeomorphism flows for SDEs driven by G-Brownian motion with non-Lipschitz coefficients
• KUNITA-TYPE STOCHASTIC FLOWS OF HOMEOMORPHISMS IN EUCLIDEAN SPACE
• Stochastic Differential Equation Driven by Countably Many Brownian Motions with Non-Lipschitzian Coefficients
• Stochastic homeomorphism flows for SDEs driven by standard Brownian motion and fractional Brownian motion with non-Lipschitz coefficients
• Stochastic differential equations driven by spatial parameters semimartingale with non-Lipschitz local characteristic

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