Stochastic Differential Equation Driven by Countably Many Brownian Motions with Non-Lipschitzian Coefficients

DOI10.1080/07362990600629017zbMath1094.60042OpenAlexW1990460919WikidataQ115297330 ScholiaQ115297330MaRDI QIDQ5478914

Zongxia Liang

Publication date: 13 July 2006

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990600629017

zbMATH Keywords

Euler approximationPathwise uniquenessLarge deviations principleNon-explosionNon-Lipschitzian

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial value problems, existence, uniqueness, continuous dependence and continuation of solutions to ordinary differential equations (34A12) Diffusion processes (60J60) Large deviations (60F10)

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Efficient Approximation of SDEs Driven by Countably Dimensional Wiener Process and Poisson Random Measure ⋮ Stochastic differential equations driven by spatial parameters semimartingale with non-Lipschitz local characteristic ⋮ ANTICIPATING MULTIDIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS WITH REFLECTIONS ⋮ Large deviations for stochastic differential equations on \(S^d\) associated with the critical Sobolev Brownian vector fields ⋮ A class of stochastic differential equations with super-linear growth and non-Lipschitz coefficients ⋮ Exponential ergodicity for non-Lipschitz white noise driven parabolic stochastic partial differential equations with two reflecting walls

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