Skip to content Skip to navigation
University of Warwick
  • Study
  • |
  • Research
  • |
  • Business
  • |
  • Alumni
  • |
  • News
  • |
  • About

University of Warwick
Publications service & WRAP

Highlight your research

  • WRAP
    • Home
    • Search WRAP
    • Browse by Warwick Author
    • Browse WRAP by Year
    • Browse WRAP by Subject
    • Browse WRAP by Department
    • Browse WRAP by Funder
    • Browse Theses by Department
  • Publications Service
    • Home
    • Search Publications Service
    • Browse by Warwick Author
    • Browse Publications service by Year
    • Browse Publications service by Subject
    • Browse Publications service by Department
    • Browse Publications service by Funder
  • Help & Advice
University of Warwick

The Library

  • Login
  • Admin

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

Tools
- Tools
+ Tools

Chen, Xin and Li, X-M. (2014) Strong completeness for a class of stochastic differential equations with irregular coefficients. Electronic Journal of Probability, 19 . pp. 1-34. 90. doi:10.1214/EJP.v19-3293 ISSN 1083-6489.

[img]
Preview
PDF
WRAP_euclid.ejp.1465065733.pdf - Published Version - Requires a PDF viewer.
Available under License Creative Commons Attribution.

Download (759Kb) | Preview
Official URL: http://dx.doi.org/10.1214/EJP.v19-3293

Request Changes to record.

Abstract

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 Ft(·) belongs to the Sobolev space W1,p loc . The main tool for this is the approximation of the associated derivative flow equations. As an application a differential formula is also obtained.

Item Type: Journal Article
Subjects: Q Science > QA Mathematics
Divisions: Faculty of Science, Engineering and Medicine > Science > Mathematics
Library of Congress Subject Headings (LCSH): Stochastic differential equations
Journal or Publication Title: Electronic Journal of Probability
Publisher: University of Washington. Department of Mathematics
ISSN: 1083-6489
Official Date: 3 October 2014
Dates:
DateEvent
3 October 2014Published
15 September 2014Accepted
Volume: 19
Number of Pages: 34
Page Range: pp. 1-34
Article Number: 90
DOI: 10.1214/EJP.v19-3293
Status: Peer Reviewed
Publication Status: Published
Date of first compliant deposit: 7 June 2016
Date of first compliant Open Access: 7 June 2016
Funder: Engineering and Physical Sciences Research Council (EPSRC), Fundação para a Ciência e a Tecnologia (FCT)
Grant number: EP/E058124/1 (EPSRC), PTDC/MAT/104173/2008 (FCT)

Request changes or add full text files to a record

Repository staff actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics

twitter

Email us: wrap@warwick.ac.uk
Contact Details
About Us