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

Guangqiang Lan, Jiang-lun Wu Orcid Logo

Stochastic Processes and their Applications, Volume: 124, Issue: 12, Pages: 4030 - 4049

Swansea University Author: Jiang-lun Wu Orcid Logo

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...

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Published in: Stochastic Processes and their Applications
Published: 2014
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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spelling 2019-10-17T15:11:05.9930080 v2 22317 2015-07-08 New sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficients dbd67e30d59b0f32592b15b5705af885 0000-0003-4568-7013 Jiang-lun Wu Jiang-lun Wu true false 2015-07-08 SMA 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. Journal Article Stochastic Processes and their Applications 124 12 4030 4049 Stochastic differential equations, non-Lipschnitz, existence, non explosion, non confluence, moment estimations fort he maximum process, test function. 1 12 2014 2014-12-01 10.1016/j.spa.2014.07.010 http://www.ams.org/leavingmsn?url=http://dx.doi.org/10.1016/j.spl.2015.04.017 COLLEGE NANME Mathematics COLLEGE CODE SMA Swansea University 2019-10-17T15:11:05.9930080 2015-07-08T09:28:46.1294739 Faculty of Science and Engineering School of Mathematics and Computer Science - Mathematics Guangqiang Lan 1 Jiang-lun Wu 0000-0003-4568-7013 2 0022317-22022017111258.pdf LanWuSPA.pdf 2017-02-22T11:12:58.8770000 Output 258707 application/pdf Accepted Manuscript true 2017-02-22T00:00:00.0000000 false eng
title New sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficients
spellingShingle New sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficients
Jiang-lun Wu
title_short New sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficients
title_full New sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficients
title_fullStr New sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficients
title_full_unstemmed New sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficients
title_sort New sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficients
author_id_str_mv dbd67e30d59b0f32592b15b5705af885
author_id_fullname_str_mv dbd67e30d59b0f32592b15b5705af885_***_Jiang-lun Wu
author Jiang-lun Wu
author2 Guangqiang Lan
Jiang-lun Wu
format Journal article
container_title Stochastic Processes and their Applications
container_volume 124
container_issue 12
container_start_page 4030
publishDate 2014
institution Swansea University
doi_str_mv 10.1016/j.spa.2014.07.010
college_str Faculty of Science and Engineering
hierarchytype
hierarchy_top_id facultyofscienceandengineering
hierarchy_top_title Faculty of Science and Engineering
hierarchy_parent_id facultyofscienceandengineering
hierarchy_parent_title Faculty of Science and Engineering
department_str School of Mathematics and Computer Science - Mathematics{{{_:::_}}}Faculty of Science and Engineering{{{_:::_}}}School of Mathematics and Computer Science - Mathematics
url http://www.ams.org/leavingmsn?url=http://dx.doi.org/10.1016/j.spl.2015.04.017
document_store_str 1
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description 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.
published_date 2014-12-01T03:26:33Z
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score 11.021648

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