Global flows for stochastic differential equations without global Lipschitz conditions

DOI10.1214/009117906000000412zbMATH Open1128.60046arXivmath/0703791OpenAlexW2103038899MaRDI QIDQ879253FDOQ879253

Authors: Shizan Fang, P. Imkeller, Tu-Sheng Zhang 

Publication date: 8 May 2007

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

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 $R$, are supposed to grow not faster than $logR$, while those of the diffusion vector fields are supposed to grow not faster than $sqrtlogR.$ 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.

Full work available at URL: https://arxiv.org/abs/math/0703791

Recommendations

• Stochastic flows for SDEs with non-Lipschitz coefficient.
• Flow of Homeomorphisms and Stochastic Transport Equations
• scientific article; zbMATH DE number 3885067
• KUNITA-TYPE STOCHASTIC FLOWS OF HOMEOMORPHISMS IN EUCLIDEAN SPACE
• Spatial asymptotic behavior of homeomorphic global flows for non-Lipschitz SDEs

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Dynamics induced by flows and semiflows (37C10) Generation, random and stochastic difference and differential equations (37H10)

Cites Work

• Title not available (Why is that?)
• On the strong comparison theorems for solutions of stochastic differential equations
• Title not available (Why is that?)
• Title not available (Why is that?)
• A study of a class of stochastic differential equations with non-Lipschitzian coefficients
• Title not available (Why is that?)
• Mécanique aléatoire
• Strong \(p\)-completeness of stochastic differential equations and the existence of smooth flows on noncompact manifolds
• Flows of stochastic dynamical systems: The functional analytic approach
• On the spatial asymptotic behavior of stochastic flows in Euclidean space
• Title not available (Why is that?)

Cited In (28)

• Well-posedness of the transport equation by stochastic perturbation
• Ray-Knight theorems related to a stochastic flow
• On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients
• A Note on the Rate of Convergence of the Euler–Maruyama Method for Stochastic Differential Equations
• Stochastic differential equations with local growth singular drifts
• Loss of regularity for Kolmogorov equations
• Strong Solutions of Some One-dimensional SDEs with Random and Unbounded Drifts
• Regularity of solutions to differential equations with non-Lipschitz coefficients
• Quasi-invariance of Lebesgue measure under the homeomorphic flow generated by SDE with non-Lipschitz coefficient
• Spatial asymptotic behavior of homeomorphic global flows for non-Lipschitz SDEs
• Pathwise uniqueness of multi-dimensional stochastic differential equations with Hölder diffusion coefficients
• On the strong regularity of degenerate additive noise driven stochastic differential equations with respect to their initial values
• Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations
• Flow of Homeomorphisms and Stochastic Transport Equations
• A stochastic Gronwall inequality and applications to moments, strong completeness, strong local Lipschitz continuity, and perturbations
• Strong completeness and semi-flows for stochastic differential equations with monotone drift
• Stochastic differential equations with coefficients in Sobolev spaces
• Lack of strong completeness for stochastic flows
• Quasi-invariant flow generated by Stratonovich SDE with BV drift coefficient
• Stochastic flows of SDEs with irregular coefficients and stochastic transport equations
• Stochastic flows and Bismut formulas for stochastic Hamiltonian systems
• Title not available (Why is that?)
• A class of stochastic differential equations with super-linear growth and non-Lipschitz coefficients
• Numerical Solutions of Stochastic Differential Delay Equations with Jumps
• 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
• Isotropic stochastic flow of homeomorphisms on \(\mathbb R^d\) associated with the critical Sobolev exponent
• Convergence rate of numerical solutions to SFDEs with jumps

This page was built for publication: Global flows for stochastic differential equations without global Lipschitz conditions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q879253)