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New sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficients
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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2014
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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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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 |
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facultyofscienceandengineering |
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Faculty of Science and Engineering |
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facultyofscienceandengineering |
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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 |
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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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1763750962857508864 |
score |
11.021648 |