A study of a class of stochastic differential equations with non-Lipschitzian coefficients

DOI10.1007/S00440-004-0398-ZzbMATH Open1081.60043OpenAlexW2034655581MaRDI QIDQ2575171FDOQ2575171

Tu-Sheng Zhang, Shizan Fang

Publication date: 8 December 2005

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00440-004-0398-z

zbMATH Keywords

large deviation principlenon-explosionGronwall lemmaEuler approximationpathwise uniquenessnon-Lipschitz conditionsnon confluence

Mathematics Subject Classification ID

Diffusion processes (60J60) 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) Differential inequalities involving functions of a single real variable (34A40)

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Cited In (95)

• Stochastic evolution equations driven by Lévy processes
• NON-LIPSCHITZ STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY MULTI-PARAMETER BROWNIAN MOTIONS
• On the existence and uniqueness of solutions to stochastic differential equations driven by \(G\)-Brownian motion with integral-Lipschitz coefficients
• Stochastic heat equations with logarithmic nonlinearity
• Schilder theorem for the Brownian motion on the diffeomorphism group of the circle
• Strong solutions for jump-type stochastic differential equations with non-Lipschitz coefficients
• Pathwise properties and homeomorphic flows for stochastic differential equations driven by \(G\)-Brownian motion
• A GENERALIZATION OF BIHARI'S INEQUALITY AND FUZZY RANDOM DIFFERENTIAL EQUATIONS WITH NON-LIPSCHITZ COEFFICIENTS
• Persistence and existence of stationary measures for a logistic growth model with predation
• Large deviation principle of stochastic differential equations with non-Lipschitzian coefficients
• Suppression and stabilisation of noise
• General decay stability for stochastic functional differential equations with infinite delay
• Stochastic Kolmogorov-type population dynamics with infinite distributed delays
• On topological properties of solution sets of non Lipschitzian quantum stochastic differential inclusions
• Pathwise estimation of stochastic differential equations with Unbounded delay and its application to stochastic pantograph equations
• Isotropic stochastic flow of homeomorphisms on \(S^{d}\) for the critical Sobolev exponent
• Strong uniqueness for a class of singular SDEs for catalytic branching diffusions
• Robustness of general decay stability of nonlinear neutral stochastic functional differential equations with infinite delay
• Robustness of exponential stability of a class of stochastic functional differential equations with infinite delay
• Harnack inequality for SDE with multiplicative noise and extension to Neumann semigroup on nonconvex manifolds
• Gradient estimates for stochastic evolution equations with non-Lipschitz coefficients
• Regularity of solutions to differential equations with non-Lipschitz coefficients
• Stochastic Differential Equations with Non-Lipschitz Coefficients in Hilbert Spaces
• The \(p\)th moment asymptotic stability and exponential stability of stochastic functional differential equations with polynomial growth condition
• Quasi-invariance of Lebesgue measure under the homeomorphic flow generated by SDE with non-Lipschitz coefficient
• Uniform large deviations for the nonlinear Schrödinger equation with multiplicative noise
• Stochastic suppression and stabilization of functional differential equations
• Pathwise uniqueness of multi-dimensional stochastic differential equations with Hölder diffusion coefficients
• Stochastic differential equations driven by spatial parameters semimartingale with non-Lipschitz local characteristic
• New sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficients
• Stochastic differential equations with singular coefficients on the straight line
• Degenerate SDE with Hölder-Dini drift and non-Lipschitz noise coefficient
• Flow of Homeomorphisms and Stochastic Transport Equations
• Strong Solutions and Strong Feller Properties for Regime-Switching Diffusion Processes in An Infinite State Space
• Noise suppresses explosive solutions of differential systems with coefficients satisfying the polynomial growth condition
• On pathwise uniqueness of stochastic evolution equations in Hilbert spaces
• A STUDY OF A CLASS OF NONLINEAR STOCHASTIC DELAY DIFFERENTIAL EQUATIONS
• Existence and uniqueness of solution for fuzzy random differential equations with non-Lipschitz coefficients
• Sobolev-type fractional stochastic differential equations with non-Lipschitz coefficients
• Strong completeness and semi-flows for stochastic differential equations with monotone drift
• Large deviation principle for SDEs with Dini continuous drifts
• Stochastic differential equations with coefficients in Sobolev spaces
• A stochastic control verification theorem for the dequantized Schrödinger equation not requiring a duration restriction
• Stability of the overdamped Langevin equation in double-well potential
• Backward stochastic Volterra integral equations -- a brief survey
• The almost sure asymptotic stability and boundedness of stochastic functional differential equations with polynomial growth condition
• Stochastic functional differential equations with infinite delay under non-Lipschitz coefficients: existence and uniqueness, Markov property, ergodicity, and asymptotic log-Harnack inequality
• Local and global existence of smooth solutions for the stochastic Euler equations with multiplicative noise
• Global flows for stochastic differential equations without global Lipschitz conditions
• Stochastic flows of SDEs with irregular coefficients and stochastic transport equations
• Stochastic flows and Bismut formulas for stochastic Hamiltonian systems
• Khasminskii-type theorems for stochastic functional differential equations with infinite delay
• General decay pathwise stability of neutral stochastic differential equations with unbounded delay
• Large deviations for neutral functional SDEs with jumps
• Stochastic Differential Equation Driven by Countably Many Brownian Motions with Non-Lipschitzian Coefficients
• Stochastic flows of SDEs with non-Lipschitz coefficients and singular time
• Strong solutions of stochastic differential equations with square integrable drift
• Flow of diffeomorphisms for SDEs with unbounded Hölder continuous drift
• A class of degenerate stochastic differential equations with non-Lipschitz coefficients
• Strong comparison result for a class of reflected stochastic differential equations with non-Lipschitzian coefficients
• LARGE DEVIATION PRINCIPLES FOR ISOTROPIC STOCHASTIC FLOW OF HOMEOMORPHISMS ON S^d
• On Wiener-Poisson type multivalued stochastic differential equations with non-Lipschitz coefficients
• Distribution dependent SDEs for Landau type equations
• Skew convolution semigroups and affine Markov processes
• Harnack inequalities and heat kernel estimates for SDEs with singular drifts
• Title not available (Why is that?)
• Jump type stochastic differential equations with non-Lipschitz coefficients: non-confluence, Feller and strong Feller properties, and exponential ergodicity
• Stochastic suppression and stabilization of delay differential systems
• Pathwise uniqueness and non-explosion of SDEs driven by compensated Poisson random measures
• Existence and uniqueness of degenerate SDEs with Hölder diffusion and measurable drift
• Properties of solutions to stochastic set differential equations under non-Lipschitzian coefficients
• Global well-posedness to stochastic reaction-diffusion equations on the real line \(\mathbb{R}\) with superlinear drifts driven by multiplicative space-time white noise
• Global solutions to stochastic reaction-diffusion equations with super-linear drift and multiplicative noise
• An approximation scheme for reflected stochastic differential equations with non-Lipschitzian coefficients
• Nonexplosion and pathwise uniqueness of stochastic differential equation driven by continuous semimartingale with non-Lipschitz coefficients
• Stochastic differential equations with local growth singular drifts
• Stability of a non-Lipschitz stochastic Riemann-Liouville type fractional differential equation driven by Lévy noise
• Strong Solutions of Some One-dimensional SDEs with Random and Unbounded Drifts
• Large deviation principles for SDEs under locally weak monotonicity conditions
• Large deviations for regime-switching diffusions with infinite delay
• A unified treatment for ODEs under Osgood and Sobolev type conditions
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• Pathwise uniqueness and non-explosion property of Skorohod SDEs with a class of non-Lipschitz coefficients and non-smooth domains
• The global solutions and moment boundedness of stochastic multipantograph equations
• Jump stochastic differential equations with non-Lipschitz and superlinearly growing coefficients
• Malliavin Calculus for Stochastic Point Vortex and Lagrangian Models
• Weak solution of stochastic differential equations with fractional diffusion coefficient
• A class of stochastic differential equations with super-linear growth and non-Lipschitz coefficients
• Border Avoidance: Necessary Regularity for Coefficients and Viscosity Approach
• Nonlinear estimates on regularity of non-Lipschitz diffusions. Collection of papers
• A class of stochastic differential equations with pathwise unique solutions
• Numerical solution for a class of SPDEs over bounded domains
• The Itô SDEs and Fokker–Planck equations with Osgood and Sobolev coefficients
• The modified truncated Euler-Maruyama method for stochastic differential equations with concave diffusion coefficients

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