Homeomorphic flows for multi-dimensional SDEs with non-Lipschitz coefficients

DOI10.1016/J.SPA.2004.10.003MaRDI QIDQ2485835zbMATH OpenOpenAlexFDO

Authors Xicheng Zhang

Publication date 5 August 2005

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2004.10.003

zbMATH Keywords

Zvonkin's transformationDini's type drifthomeomorphic flow propertymulti-dimensional stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial value problems, existence, uniqueness, continuous dependence and continuation of solutions to ordinary differential equations (34A12)

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Cites work

• scientific article; zbMATH DE number 3883346 (Why is no real title available?)
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• Mécanique aléatoire
• On the strong comparison theorems for solutions of stochastic differential equations
• On the uniqueness of solutions of stochastic differential equations. II
• Perfect cocycles through stochastic differential equations
• Schilder theorem for the Brownian motion on the diffeomorphism group of the circle
• Stochastic flows for SDEs with non-Lipschitz coefficient.
• The canonic diffusion above the diffeomorphism group of the circle

Cited in

(34)

• Malliavin calculus for stochastic point vortex and Lagrangian models
• Euler-Maruyama approximations for SDEs with non-Lipschitz coefficients and applications
• Strong averaging principle for two-time-scale SDEs with non-Lipschitz coefficients
• Well-posedness of the transport equation by stochastic perturbation
• Ray-Knight theorems related to a stochastic flow
• Exponential ergodicity of non-Lipschitz stochastic differential equations
• Nonexplosion and pathwise uniqueness of stochastic differential equation driven by continuous semimartingale with non-Lipschitz coefficients
• KUNITA-TYPE STOCHASTIC FLOWS OF HOMEOMORPHISMS IN EUCLIDEAN SPACE
• On the stochastic flow generated by the one default model in one-dimensional case
• Continuity modulus of stochastic homeomorphism flows for SDEs with non-Lipschitz coefficients
• The Itô SDEs and Fokker-Planck equations with Osgood and Sobolev coefficients
• Regularity of solutions to differential equations with non-Lipschitz coefficients
• Homeomorphism of solutions to backward SDEs and applications
• Spatial asymptotic behavior of homeomorphic global flows for non-Lipschitz SDEs
• Pathwise uniqueness of multi-dimensional stochastic differential equations with Hölder diffusion coefficients
• Averaging principle for non‐Lipschitz fractional stochastic evolution equations with random delays modulated by two‐time‐scale Markov switching processes
• Stochastic differential equations driven by spatial parameters semimartingale with non-Lipschitz local characteristic
• Flow of Homeomorphisms and Stochastic Transport Equations
• Stochastic differential equations with coefficients in Sobolev spaces
• One dimensional stochastic differential equations with distributional drifts
• Stochastic homeomorphism flows of SDEs with singular drifts and Sobolev diffusion coefficients
• Homeomorphism flows for SDEs driven by \(G\)-Brownian motion with non-Lipschitz coefficients
• Homeomorphism flows for non-Lipschitz stochastic differential equations with jumps
• Quasi-invariance of the stochastic flow associated to Itô's SDE with singular time-dependent drift
• Stochastic flows of SDEs with non-Lipschitz coefficients and singular time
• Flow of diffeomorphisms for SDEs with unbounded Hölder continuous drift
• A class of stochastic differential equations with super-linear growth and non-Lipschitz coefficients
• ERRATA: "KUNITA-TYPE STOCHASTIC FLOWS OF HOMEOMORPHISMS IN EUCLIDEAN SPACE"
• Homeomorphic property of solutions of SDE driven by countably many Brownian motions with non-Lipschitzian coefficients
• Isotropic stochastic flow of homeomorphisms on \(\mathbb R^d\) associated with the critical Sobolev exponent
• Robustness of Delta Hedging in a Jump-Diffusion Model
• Freidlin-Wentzell's large deviations for homeomorphism flows of non-Lipschitz SDEs
• Stochastic flows for SDEs with non-Lipschitz coefficient.
• Stochastic flows for nonlinear SPDEs driven by linear multiplicative space-time white noises

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