STRONG P-COMPLETENESS OF STOCHASTIC DIFFERENTIAL-EQUATIONS AND THE EXISTENCE OF SMOOTH FLOWS ON NONCOMPACT MANIFOLDS

被引:42
作者
LI, XM
机构
[1] Mathematics Institute, University of Warwick, Coventry
关键词
Mathematies Subject Classification (1991): 60H10; 58G32; 60H30;
D O I
10.1007/BF01268991
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
Here we discuss the regularity of solutions of SDE's and obtain conditions under which a SDE on a complete Riemannian manifold M has a global smooth solution flow, in particular improving the usual global Lipschitz hypothesis when M = R(n). There are also results on non-explosion of diffusions.
引用
收藏
页码:485 / 511
页数:27
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