Lack of strong completeness for stochastic flows
نویسندگان
چکیده
منابع مشابه
Lack of strong completeness for stochastic flows
It is well-known that a stochastic differential equation (SDE) on a Euclidean space driven by a Brownian motion with Lipschitz coefficients generates a stochastic flow of homeomorphisms. When the coefficients are only locally Lipschitz, then a maximal continuous flow still exists but explosion in finite time may occur. If – in addition – the coefficients grow at most linearly, then this flow ha...
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ژورنال
عنوان ژورنال: The Annals of Probability
سال: 2011
ISSN: 0091-1798
DOI: 10.1214/10-aop585