Strong completeness for a class of stochastic differential equations with irregular coefficients

被引:10
|
作者
Chen, Xin [1 ]
Li, Xue-Mei [2 ]
机构
[1] Univ Lisbon, Grp Fis Matemat, P-1649003 Lisbon, Portugal
[2] Univ Warwick, Math Inst, Coventry CV4 7AL, W Midlands, England
来源
基金
英国工程与自然科学研究理事会;
关键词
strong completeness; stochastic differential equation; derivative flow equation; approximation; differential formula; FLOWS; SDES;
D O I
10.1214/EJP.v19-3293
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
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 F-t(.) belongs to the Sobolev space W-loc(1,p). The main tool for this is the approximation of the associated derivative flow equations. As an application a differential formula is also obtained.
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页码:1 / 34
页数:34
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