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

DOI10.1016/J.SPA.2014.07.010zbMATH Open1314.60116arXiv1404.0826OpenAlexW2006421444MaRDI QIDQ744233FDOQ744233

Authors: Guangqiang Lan, Jiang-Lun Wu 

Publication date: 6 October 2014

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

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.

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

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zbMATH Keywords

stochastic differential equationsmaximum processtest functionmoment estimationsnon-confluencenon-Lipschitzian coefficients

Mathematics Subject Classification ID

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

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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
• Stochastic averaging principle for differential equations with non-Lipschitz coefficients driven by fractional Brownian motion
• An approximation scheme for reflected stochastic differential equations with non-Lipschitzian coefficients
• Strong convergence rates of modified truncated EM method for stochastic differential equations
• Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance
• 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
• 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
• \(p\)th moment \((p \in (0, 1))\) 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

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