New sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficients

DOI10.1016/J.SPA.2014.07.010MaRDI QIDQ744233zbMATH OpenOpenAlexFDO

Authors Guangqiang Lan, Jiang-Lun Wu

Publication date 6 October 2014

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1404.0826

zbMATH Keywords

stochastic differential equationsmaximum processtest functionmoment estimationsnon-confluencenon-Lipschitzian coefficients

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: The object of the present paper is to find new sufficient conditions for the existence of unique strong solutions to a class of (time-inhomogeneous) stochastic differential equations with random, non-Lipschitzian coefficients. We give an example to show that our conditions are indeed weaker than those relevant conditions existing in the literature. We also derive moment estimations for the maximum process of the solution. Finally, we present a sufficient condition to ensure the non confluence property of the solution of time-homogeneous SDE which, in one dimension, is nothing but stochastic monotone property of the solution.

Recommendations

• Pathwise uniqueness and non-explosion of SDEs with non-Lipschitzian coefficients
• scientific article; zbMATH DE number 4135143
• A study of a class of stochastic differential equations with non-Lipschitzian coefficients
• Properties of solutions of stochastic differential equations with random coefficients, non-Lipschitz diffusion, and Poisson measures
• Nonexplosion and pathwise uniqueness of stochastic differential equation driven by continuous semimartingale with non-Lipschitz coefficients

Cites work

• scientific article; zbMATH DE number 1375552 (Why is no real title available?)
• scientific article; zbMATH DE number 3664138 (Why is no real title available?)
• scientific article; zbMATH DE number 3716511 (Why is no real title available?)
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• A class of stochastic differential equations with non-Lipschitzian coefficients: Pathwise uniqueness and no explosion
• A concise course on stochastic partial differential equations
• A study of a class of stochastic differential equations with non-Lipschitzian coefficients
• Existence and uniqueness of solutions of stochastic functional differential equations
• Harnack inequalities for stochastic (functional) differential equations with non-Lipschitzian coefficients
• On the strong comparison theorems for solutions of stochastic differential equations
• On the uniqueness of solutions of stochastic differential equations
• On the uniqueness of solutions of stochastic differential equations. II
• On weak solutions of stochastic differential equations
• Stochastic differential equations and applications.
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Strong solutions of stochastic equations with singular time dependent drift

Cited in

(18)

• Necessary stochastic maximum principle for dissipative systems on infinite time horizon
• Strong solutions for jump-type stochastic differential equations with non-Lipschitz coefficients
• An approximation scheme for reflected stochastic differential equations with non-Lipschitzian coefficients
• Stochastic averaging principle for differential equations with non-Lipschitz coefficients driven by fractional Brownian motion
• Strong convergence rates of modified truncated EM method for stochastic differential equations
• General decay asymptotic stability of neutral stochastic differential delayed equations with Markov switching
• Euler scheme and measurable flows for stochastic differential equations with non-Lipschitz coefficients
• Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance
• Stability of a non-Lipschitz stochastic Riemann-Liouville type fractional differential equation driven by Lévy noise
• Large deviation principles for SDEs under locally weak monotonicity conditions
• Convergence of modified truncated Euler-Maruyama method for stochastic differential equations with Hölder diffusion coefficients
• Mild solutions of local non-Lipschitz neutral stochastic functional evolution equations driven by jumps modulated by Markovian switching
• On the non‐confluent property of solutions of one‐dimensional stochastic differential equations
• Stability of the overdamped Langevin equation in double-well potential
• pth moment (p (0, 1)) and almost sure exponential stability of the exact solutions and modified truncated EM method for stochastic differential equations
• Pathwise uniqueness and non-explosion of SDEs with non-Lipschitzian coefficients
• Stochastic flows of SDEs with non-Lipschitz coefficients and singular time
• Jump type stochastic differential equations with non-Lipschitz coefficients: non-confluence, Feller and strong Feller properties, and exponential ergodicity

This page was built for publication: New sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficients

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q744233)