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

DOI10.1007/S00440-004-0398-ZMaRDI QIDQ2575171zbMATH OpenOpenAlexFDO

Authors Shizan Fang, Tu-Sheng Zhang

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

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• Stochastic evolution equations driven by Lévy processes
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• Properties of solutions to stochastic set differential equations under non-Lipschitzian coefficients
• 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
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• 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
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• Sobolev-type fractional stochastic differential equations with non-Lipschitz coefficients
• Strong completeness and semi-flows for stochastic differential equations with monotone drift
• The global solutions and moment boundedness of stochastic multipantograph equations
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• Skew convolution semigroups and affine Markov processes
• Jump type stochastic differential equations with non-Lipschitz coefficients: non-confluence, Feller and strong Feller properties, and exponential ergodicity

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