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Stochastic flows of SDEs with non-Lipschitz coefficients and singular time

Author

Listed:
  • Xu, Jie
  • Wen, Jiaping
  • Mu, Jianyong
  • Liu, Jicheng

Abstract

In this paper we prove the stochastic homeomorphism flows for stochastic differential equations (SDEs) with non-Lipschitz coefficients and singular time.

Suggested Citation

  • Xu, Jie & Wen, Jiaping & Mu, Jianyong & Liu, Jicheng, 2019. "Stochastic flows of SDEs with non-Lipschitz coefficients and singular time," Statistics & Probability Letters, Elsevier, vol. 148(C), pages 118-127.
    • Handle: RePEc:eee:stapro:v:148:y:2019:i:c:p:118-127
    DOI: 10.1016/j.spl.2019.01.026
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    References listed on IDEAS

    as
    1. Zhang, Xicheng, 2010. "Stochastic flows and Bismut formulas for stochastic Hamiltonian systems," Stochastic Processes and their Applications, Elsevier, vol. 120(10), pages 1929-1949, September.
    2. Lan, Guangqiang & Wu, Jiang-Lun, 2014. "New sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficients," Stochastic Processes and their Applications, Elsevier, vol. 124(12), pages 4030-4049.
    3. Qiao, Huijie & Zhang, Xicheng, 2008. "Homeomorphism flows for non-Lipschitz stochastic differential equations with jumps," Stochastic Processes and their Applications, Elsevier, vol. 118(12), pages 2254-2268, December.
    4. Zhang, Xicheng, 2005. "Homeomorphic flows for multi-dimensional SDEs with non-Lipschitz coefficients," Stochastic Processes and their Applications, Elsevier, vol. 115(3), pages 435-448, March.
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