Global flows for stochastic differential equations without global Lipschitz conditions

DOI10.1214/009117906000000412MaRDI QIDQ879253zbMATH OpenOpenAlexFDO

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

Publication date 8 May 2007

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

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

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)

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.

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Cited in

(28)

• Stochastic differential equations with local growth singular drifts
• Flow of Homeomorphisms and Stochastic Transport Equations
• Spatial asymptotic behavior of homeomorphic global flows for non-Lipschitz SDEs
• A stochastic Gronwall inequality and applications to moments, strong completeness, strong local Lipschitz continuity, and perturbations
• Numerical Solutions of Stochastic Differential Delay Equations with Jumps
• 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
• 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
• Quasi-invariant flow generated by Stratonovich SDE with BV drift coefficient
• 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
• Convergence rate of numerical solutions to SFDEs with jumps
• Stochastic flows of SDEs with irregular coefficients and stochastic transport equations
• scientific article; zbMATH DE number 3885067 (Why is no real title available?)
• A Note on the Rate of Convergence of the Euler–Maruyama Method for Stochastic Differential Equations
• Lack of strong completeness for stochastic flows
• Strong solutions of some one-dimensional SDEs with random and unbounded drifts
• Quasi-invariance of Lebesgue measure under the homeomorphic flow generated by SDE with non-Lipschitz coefficient
• Stochastic differential equations with coefficients in Sobolev spaces
• Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations
• Regularity of solutions to differential equations with non-Lipschitz coefficients
• Well-posedness of the transport equation by stochastic perturbation
• Isotropic stochastic flow of homeomorphisms on \(\mathbb R^d\) associated with the critical Sobolev exponent
• Strong completeness and semi-flows for stochastic differential equations with monotone drift
• Stochastic flows and Bismut formulas for stochastic Hamiltonian systems
• Ray-Knight theorems related to a stochastic flow
• A class of stochastic differential equations with super-linear growth and non-Lipschitz coefficients

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