NON-LIPSCHITZ STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY MULTI-PARAMETER BROWNIAN MOTIONS

DOI10.1142/S021949370600175XzbMath1108.60054OpenAlexW2024407470MaRDI QIDQ3421618

Jingyang Zhu, Xicheng Zhang

Publication date: 7 February 2007

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021949370600175x

zbMATH Keywords

Bihari's inequalitydiscretizing approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Exponential integrability of Itô's processes ⋮ NON-LIPSCHITZ BACKWARD STOCHASTIC VOLTERRA TYPE EQUATIONS WITH JUMPS ⋮ Stochastic inclusions and set-valued stochastic equations with mixed integrals in the plane ⋮ Anticipated backward stochastic differential equations with non-Lipschitz coefficients ⋮ Explicit solutions for multivalued stochastic differential equations ⋮ Anticipated backward stochastic differential equations with jumps under the non-Lipschitz condition ⋮ Set-Valued Stochastic Integrals and Equations with Respect to Two-Parameter Martingales ⋮ ON STOCHASTIC EVOLUTION EQUATIONS WITH NON-LIPSCHITZ COEFFICIENTS ⋮ A class of backward stochastic Bellman-Bihari's inequality and its applications ⋮ Multivalued stochastic differential equations with non-Lipschitz coefficients ⋮ Harnack inequalities for SDEs driven by cylindrical \(\alpha\)-stable processes

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