A class of stochastic differential equations with non-Lipschitzian coefficients: pathwise uniqueness and no explosion

A new result for the pathwise uniqueness of solutions of stochastic differential equations with non-Lipschitzian coefficients is established. Furthermore, we prove that the solution has no explosion under the growth ξlog ξ. To cite this article: S. Fang, T. Zhang, C. R. Acad. Sci. Paris, Ser. I 337...

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Published inComptes rendus. Mathématique Vol. 337; no. 11; pp. 737 - 740
Main Authors Fang, Shizan, Zhang, Tusheng
Format Journal Article
LanguageEnglish
Published Paris Elsevier SAS 01.12.2003
Elsevier
Subjects
Exact sciences and technology
Mathematical analysis
Mathematics
Ordinary differential equations
Probability and statistics
Probability theory and stochastic processes
Probability theory on algebraic and topological structures
Sciences and techniques of general use
Solution uniqueness
Equation with non lipschitz coeffcient
Differential equation
Probability theory
Continuous function
Strong solution
Stochastic equation
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Summary:A new result for the pathwise uniqueness of solutions of stochastic differential equations with non-Lipschitzian coefficients is established. Furthermore, we prove that the solution has no explosion under the growth ξlog ξ. To cite this article: S. Fang, T. Zhang, C. R. Acad. Sci. Paris, Ser. I 337 (2003). La condition lipschitzienne locale sera affaiblie dans l'établissemnt de l'unicité trajectorielle d'une e.d.s ; de plus, nous montrerons que la solution a un temps de vie infini sous la croissance ξlog ξ. Pour citer cet article : S. Fang, T. Zhang, C. R. Acad. Sci. Paris, Ser. I 337 (2003).
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
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ISSN:1631-073X
1778-3569
DOI:10.1016/j.crma.2003.10.008