Lack of strong completeness for stochastic flows

DOI10.1214/10-AOP585zbMATH Open1235.60066arXiv0908.1839OpenAlexW2093883713MaRDI QIDQ717883FDOQ717883

Authors: Xue-Mei Li, Michael Scheutzow 

Publication date: 10 October 2011

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: It is well-known that a stochastic differential equation (SDE) on a Euclidean space driven by a Brownian motion with Lipschitz coefficients generates a stochastic flow of homeomorphisms. When the coefficients are only locally Lipschitz, then a maximal continuous flow still exists but explosion in finite time may occur. If -- in addition -- the coefficients grow at most linearly, then this flow has the property that for each fixed initial condition $x$, the solution exists for all times almost surely. If the exceptional set of measure zero can be chosen independently $x$, then the maximal flow is called {em strongly complete}. The question, whether an SDE with locally Lipschitz continuous coefficients satisfying a linear growth condition is strongly complete was open for many years. In this paper, we construct a 2-dimensional SDE with coefficients which are even bounded (and smooth) and which is {em not} strongly complete thus answering the question in the negative.

Full work available at URL: https://arxiv.org/abs/0908.1839

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zbMATH Keywords

homogenizationstochastic flowstrongly complete

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Homogenization in context of PDEs; PDEs in media with periodic structure (35B27) Generation, random and stochastic difference and differential equations (37H10)

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Cited In (20)

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• The perfection of local semi-flows and local random dynamical systems with applications to SDEs
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• Loss of regularity for Kolmogorov equations
• A priori bounds for rough differential equations with a non-linear damping term
• On the Itô-Alekseev-Gröbner formula for stochastic differential equations
• Logarithmic heat kernel estimates without curvature restrictions
• Regularity preservation in Kolmogorov equations for non-Lipschitz coefficients under Lyapunov conditions
• On the strong regularity of degenerate additive noise driven stochastic differential equations with respect to their initial values
• Relations between \(L^{1}\)-completeness and continuity at infinity of stochastic flows and some applications
• A stochastic Gronwall inequality and applications to moments, strong completeness, strong local Lipschitz continuity, and perturbations
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• On nonlinear Feynman–Kac formulas for viscosity solutions of semilinear parabolic partial differential equations
• Stochastic differential equations with coefficients in Sobolev spaces
• Strong \(p\)-completeness of stochastic differential equations and the existence of smooth flows on noncompact manifolds
• Counterexamples to local Lipschitz and local Hölder continuity with respect to the initial values for additive noise driven stochastic differential equations with smooth drift coefficient functions with at most polynomially growing derivatives
• Flow of diffeomorphisms for SDEs with unbounded Hölder continuous drift

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