Global flows for stochastic differential equations without global Lipschitz conditions
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Ordinary differential equations and systems with randomness (34F05) Dynamics induced by flows and semiflows (37C10) Generation, random and stochastic difference and differential equations (37H10) Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Abstract: We consider stochastic differential equations driven by Wiener processes. The vector fields are supposed to satisfy only local Lipschitz conditions. The Lipschitz constants of the drift vector field, valid on balls of radius , are supposed to grow not faster than , while those of the diffusion vector fields are supposed to grow not faster than We regularize the stochastic differential equations by associating with them approximating ordinary differential equations obtained by discretization of the increments of the Wiener process on small intervals. By showing that the flow associated with a regularized equation converges uniformly to the solution of the stochastic differential equation, we simultaneously establish the existence of a global flow for the stochastic equation under local Lipschitz conditions.
Under less restrictive hypotheses than the well-known ones using global Lipschitz conditions, it is proved that a global flow of homeomorphisms is defined by the Stratonovich stochastic differential equation \[ dx_t=\sum^N_{i=1} A_i(x_t)\circ dw^i_t+A_0(x_t)dt,\quad x_0=x \] where \(w_t\) is an \(N\)-dimensional standard Brownian motion.
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Cited in
(28)- Quasi-invariance of Lebesgue measure under the homeomorphic flow generated by SDE with non-Lipschitz coefficient
- Ray-Knight theorems related to a stochastic flow
- On the strong regularity of degenerate additive noise driven stochastic differential equations with respect to their initial values
- A stochastic Gronwall inequality and applications to moments, strong completeness, strong local Lipschitz continuity, and perturbations
- 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
- On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients
- Loss of regularity for Kolmogorov equations
- Pathwise uniqueness of multi-dimensional stochastic differential equations with Hölder diffusion coefficients
- Spatial asymptotic behavior of homeomorphic global flows for non-Lipschitz SDEs
- Stochastic flows and Bismut formulas for stochastic Hamiltonian systems
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- Strong completeness and semi-flows for stochastic differential equations with monotone drift
- Numerical Solutions of Stochastic Differential Delay Equations with Jumps
- Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations
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- Flow of Homeomorphisms and Stochastic Transport Equations
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- Convergence rate of numerical solutions to SFDEs with jumps
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- Lack of strong completeness for stochastic flows
- Well-posedness of the transport equation by stochastic perturbation
- Regularity of solutions to differential equations with non-Lipschitz coefficients
- Isotropic stochastic flow of homeomorphisms on \(\mathbb R^d\) associated with the critical Sobolev exponent
- Stochastic flows of SDEs with irregular coefficients and stochastic transport equations
- Flow of diffeomorphisms for SDEs with unbounded Hölder continuous drift
- Stochastic differential equations with coefficients in Sobolev spaces
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