Stochastic flows of SDEs with non-Lipschitz coefficients and singular time

Jie Xu, Jiaping Wen, Jianyong Mu and Jicheng Liu

Statistics & Probability Letters, 2019, vol. 148, issue C, 118-127

Abstract: In this paper we prove the stochastic homeomorphism flows for stochastic differential equations (SDEs) with non-Lipschitz coefficients and singular time.

Keywords: Stochastic homeomorphism flows; SDEs; Non-Lipschitz; Singular time; Zvonkin’s transformation (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:148:y:2019:i:c:p:118-127

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DOI: 10.1016/j.spl.2019.01.026

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