Journal article 1195 views 146 downloads
New sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficients
Guangqiang Lan,
Jiang-lun Wu 
Stochastic Processes and their Applications, Volume: 124, Issue: 12, Pages: 4030 - 4049
Swansea University Author:
Jiang-lun Wu
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DOI (Published version): 10.1016/j.spa.2014.07.010
Abstract
The objective 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...
| Published in: | Stochastic Processes and their Applications |
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| Published: |
2014
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| Online Access: |
http://www.ams.org/leavingmsn?url=http://dx.doi.org/10.1016/j.spl.2015.04.017 |
| URI: | https://cronfa.swan.ac.uk/Record/cronfa22317 |
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| Abstract: |
The objective 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. |
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| Keywords: |
Stochastic differential equations, non-Lipschnitz, existence, non explosion, non confluence, moment estimations fort he maximum process, test function. |
| College: |
Faculty of Science and Engineering |
| Issue: |
12 |
| Start Page: |
4030 |
| End Page: |
4049 |