A class of stochastic differential equations with super-linear growth and non-Lipschitz coefficients

DOI10.1080/17442508.2015.1012080MaRDI QIDQ2804012zbMATH OpenOpenAlexFDO

Authors Khaled Bahlali, Antoine Hakassou, Youssef Ouknine

Publication date 27 April 2016

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1502.04915

zbMATH Keywords

large deviationsstochastic differential equationsstochastic flowspathwise uniquenessnon-Lipschitz coefficientssuper-linear growthnon-contact property

Mathematics Subject Classification ID

Large deviations (60F10) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: The purpose of this paper is to study some properties of solutions to one dimensional as well as multidimensional stochastic differential equations (SDEs in short) with super-linear growth conditions on the coefficients. Taking inspiration from cite{BEHP, KBahlali, Bahlali}, we introduce a new {it{local condition}} which ensures the pathwise uniqueness, as well as the non-contact property. We moreover show that the solution produces a stochastic flow of continuous maps and satisfies a large deviations principle of Freidlin-Wentzell type. Our conditions on the coefficients go beyond the existing ones in the literature. For instance, the coefficients are not assumed uniformly continuous and therefore can not satisfy the classical Osgood condition. The drift coefficient could not be locally monotone and the diffusion is neither locally Lipschitz nor uniformly elliptic. Our conditions on the coefficients are, in some sense, near the best possible. Our results are sharp and mainly based on Gronwall lemma and the localization of the time parameter in concatenated intervals

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Cited in

(4)

• On pathwise super-exponential decay rates of solutions of scalar nonlinear stochastic differential equations
• One dimensional BSDEs with logarithmic growth application to PDEs
• Jump stochastic differential equations with non-Lipschitz and superlinearly growing coefficients
• Existence, uniqueness and comparison theorem on unbounded solutions of scalar super-linear BSDEs

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