Euler scheme and measurable flows for stochastic differential equations with non-Lipschitz coefficients

DOI10.1016/S0252-9602(17)30123-6zbMath1399.60103OpenAlexW2773284162MaRDI QIDQ1637004

Zhiming Wang

Publication date: 7 June 2018

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0252-9602(17)30123-6

zbMATH Keywords

stochastic differential equationMarkov propertyEuler schemenon-Lipschitzmeasurable flow

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Strong Feller property and continuous dependence on initial data for one-dimensional stochastic differential equations with Hölder continuous coefficients

Cites Work

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• A generalization of a lemma of bellman and its application to uniqueness problems of differential equations