Global flows for stochastic differential equations without global Lipschitz conditions

Annals of Probability

Volumn 35, Issue 1, 2007, Pages 180-205

  Fang, Shizan ^a,d   Imkeller, Peter ^b   Zhang, Tusheng ^c  

^a UNIVERSITÉ DE BOURGOGNE   (France)

^b HUMBOLDT UNIVERSITY   (Germany)

^c UNIVERSITY OF MANCHESTER   (United Kingdom)

^d UNIVERSITÉ DE BOURGOGNE   (France)

Author keywords

Approximation by ordinary differential equation; Global flow; Local Lipschitz conditions; Martingale inequalities; Moment inequalities; Stochastic differential equation; Uniform convergence

Indexed keywords

EID: 34548381845     PISSN: 00911798     EISSN: None     Source Type: Journal    
DOI: 10.1214/009117906000000412     Document Type: Article

References (12)

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