Pathwise Uniqueness and Non-explosion Property of Skorohod SDEs with a Class of Non-Lipschitz Coefficients and Non-smooth Domains

被引：4

作者：

Hino, Masanori ^{[1
]}

Matsuura, Kouhei ^{[2
]}

Yonezawa, Misaki ^{[3
]}

机构：

[1] Kyoto Univ, Dept Math, Kyoto 6068502, Japan

[2] Univ Tsukuba, Inst Math, 1-1-1 Tennodai, Tsukuba, Ibaraki 3058571, Japan

[3] Daiwa Secur Co Ltd, Chiyoda Ku, Tokyo 1006752, Japan

来源：

JOURNAL OF THEORETICAL PROBABILITY | 2021年 / 34卷 / 04期

关键词：

Skorohod SDE; Non-Lipschitz coefficient; Pathwise uniqueness; Non-explosion property; STOCHASTIC DIFFERENTIAL-EQUATIONS;

D O I：

10.1007/s10959-020-01036-7

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 study stochastic differential equations with a reflecting boundary condition. We provide sufficient conditions for pathwise uniqueness and non-explosion property of solutions in a framework admitting non-Lipschitz continuous coefficients and non-smooth domains.

引用

页码：2166 / 2191

页数：26

共 50 条

[41] The stochastic parabolic partial differential equation with non-Lipschitz coefficients on the unbounded domain
Xie, Bin
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2008, 339 (01) : 705 - 718
[42] L-p-solution of reflected generalized BSDEs with non-Lipschitz coefficients
Aman, Auguste
RANDOM OPERATORS AND STOCHASTIC EQUATIONS, 2009, 17 (03) : 201 - 219
[43] Mean-square convergence rates of implicit Milstein type methods for SDEs with non-Lipschitz coefficients (vol 49, 37, 2023)
Wang, Xiaojie
ADVANCES IN COMPUTATIONAL MATHEMATICS, 2023, 49 (03)
[44] On perturbations of an ODE with non-Lipschitz coefficients by a small self-similar noise
Pilipenko, Andrey
Proske, Frank Norbert
STATISTICS & PROBABILITY LETTERS, 2018, 132 : 62 - 73
[45] Lp solutions of finite and infinite time interval BSDEs with non-Lipschitz coefficients
Fan, Sheng Jun
Jiang, Long
STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 2012, 84 (04) : 487 - 506
[46] Stochastic functional differential equations with infinite delay under non-Lipschitz coefficients: Existence and uniqueness, Markov property, ergodicity, and asymptotic log-Harnack inequality
Wang, Ya
Wu, Fuke
Yin, George
Zhu, Chao
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2022, 149 : 1 - 38
[47] G-NEUTRAL STOCHASTIC DIFFERENTIAL EQUATIONS WITH VARIABLE DELAY AND NON-LIPSCHITZ COEFFICIENTS
Abouagwa, Mahmoud
Li, Ji
DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B, 2020, 25 (04): : 1583 - 1606
[48] Stability and prevalence of McKean-Vlasov stochastic differential equations with non-Lipschitz coefficients
Mezerdi, Mohamed Amine
Khelfallah, Nabil
RANDOM OPERATORS AND STOCHASTIC EQUATIONS, 2021, 29 (01) : 67 - 78
[49] RELATIONS BETWEEN SOLUTIONS TO STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY SEMIMARTINGALE WITH NON-LIPSCHITZ COEFFICIENTS
Weiyin Fei School of Math. and Physics
Annals of Applied Mathematics, 2010, (01) : 16 - 23
[50] Solutions of BSDEs with a kind of non-Lipschitz coefficients driven by G-Brownian motion
Zhang, Wei
Jiang, Long
STATISTICS & PROBABILITY LETTERS, 2021, 171

← 1 2 3 4 5 →