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

DOI10.1007/s00440-004-0398-zzbMath1081.60043OpenAlexW2034655581MaRDI QIDQ2575171

Tu-Sheng Zhang, Shizan Fang

Publication date: 8 December 2005

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

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

zbMATH Keywords

large deviation principleGronwall lemmapathwise uniquenessEuler approximationnon-explosionnon-Lipschitz conditionsnon confluence

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

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