Local Lipschitz Continuity in the Initial Value and Strong Completeness for Nonlinear Stochastic Differential Equations

Sonja Cox, Martin Hutzenthaler, Arnulf Jentzen (Autoren)

Buch | Softcover

90 Seiten

2024
American Mathematical Society (Verlag)
978-1-4704-6701-2 (ISBN)

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In this article we provide conditions on the coefficient functions of the stochastic differential equation and on p ? (0, ?] that are sufficient for local Lipschitz continuity in the strong Lp-sense with respect to the initial value and we establish explicit estimates for the local Lipschitz continuity constants.

The Memoirs of the AMS is devoted to the publication of new research in all areas of pure and applied mathematics. The Memoirs is designed particularly to publish long papers of groups of cognate papers in book form, and is under the supervision of the Editorial Committee of the AMS journal Transactions of the American Mathematical Society. All papers are peer-reviewed.

Sonja Cox, University of Amsterdam, The Netherlands, Martin Hutzenthaler, University of Duisburg-Essen, Germany, and Arnulf Jentzen, The Chinese University of Hong Kong, Shenzhen, People's Republic of China, and University of Munster, Germany.

1. Introduction
2. Strong stability analysis for solutions of SDEs
3. Strong completeness of SDEs
4. Examples of SODEs
5. Examples of SPDEs

Erscheinungsdatum	04.06.2024
Reihe/Serie	Memoirs of the American Mathematical Society ; Volume: 296 Number: 1481
Verlagsort	Providence
Sprache	englisch
Maße	178 x 254 mm
Gewicht	272 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Analysis
ISBN-10	1-4704-6701-1 / 1470467011
ISBN-13	978-1-4704-6701-2 / 9781470467012
Zustand	Neuware