Strong completeness for a class of stochastic differential equations with irregular coefficients
File(s)
Published version
Author(s)
Chen, Xin
Li, Xue-Mei
Type
Journal Article
Abstract
We prove the strong completeness for a class of non-degenerate SDEs, whose coefficients are not necessarily uniformly elliptic nor locally Lipschitz continuous nor bounded.Moreover, for each p>0 there is a positive number T(p) such that for all t<T(p),the solution flow Ft(⋅) belongs to the Sobolev space W1,ploc. The main tool for this is the approximation of the associated derivative flow equations. As an application a differential formula is also obtained.
Date Issued
2014-10-03
Date Acceptance
2014-10-03
Citation
Electronic Journal of Probability, 2014, 19
ISSN
1083-6489
Publisher
Institute of Mathematical Statistics
Journal / Book Title
Electronic Journal of Probability
Volume
19
Copyright Statement
© 2014 The Authors. This work is licensed under a Creative Commons Attribution 3.0 License (https://creativecommons.org/licenses/by/3.0/).
Identifier
http://dx.doi.org/10.1214/EJP.v19-3293
Subjects
Science & Technology
Physical Sciences
Statistics & Probability
Mathematics
strong completeness
stochastic differential equation
derivative flow equation
approximation
differential formula
FLOWS
SDES
math.PR
math.PR
0104 Statistics
Statistics & Probability
Notes
mrclass: 60H10 mrnumber: 3272324 mrreviewer: Jing Wu
Publication Status
Published
Article Number
91
Date Publish Online
2016-06-04