Local Lipschitz continuity in the initial value and strong completeness for nonlinear stochastic differential equations / Sonja Cox, Martin Hutzenthaler, Arnulf Jentzen

Von:

Cox, Sonja [VerfasserIn]

Mitwirkende(r):

Resource type: Ressourcentyp: BuchBuchSprache: Englisch Reihen: American Mathematical Society. Memoirs of the American Mathematical Society ; volume 296, number 1481 (April 2024)Verlag: Providence : American Mathematical Society, April 2024Beschreibung: v, 90 SeitenISBN:

9781470467012

Schlagwörter:

Andere physische Formen: 9781470478186 | Erscheint auch als: Local Lipschitz Continuity in the Initial Value and Strong Completeness for Nonlinear Stochastic Differential Equations. Online-Ausgabe 1st ed. Providence : American Mathematical Society, 2024. 1 online resource (102 pages) | Erscheint auch als: Local Lipschitz continuity in the initial value and strong completeness for nonlinear stochastic differential equations. Online-Ausgabe Providence : American Mathematical Society, 2024. 1 Online-Ressource (v, 90 Seiten)DDC-Klassifikation:

519.2/2 23/eng20240823

MSC: MSC: 60H10LOC-Klassifikation:

QA274.23

Zusammenfassung: "Recently, Hairer et al. (2015) showed that there exist stochastic differential equations (SDEs) with infinitely often differentiable and globally bounded coefficient functions whose solutions fail to be locally Lipschitz continuous in the strong Lp-sense with respect to the initial value for every p (0,]. In this article we provide conditions on the coefficient functions of the SDE 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. In particular, we prove local Lipschitz continuity in the initial value for several nonlinear stochastic ordinary and stochastic partial differential equations in the literature such as the stochastic van der Pol oscillator, Brownian dynamics, the Cox-Ingersoll-Ross processes and the Cahn-Hilliard-Cook equation. As an application of our estimates, we obtain strong completeness for several nonlinear SDEs"--PPN: PPN: 1896766056

Exemplare ( 1 )

Exemplare
Medientyp	Heimatbibliothek	Standort	Signatur	Status
Institutsbestand	Fachbibliothek Mathematik	Bibliothek / frei aufgestellt	Z 57 c-296.2024,1481	Nicht ausleihbar

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