کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1156474 | 958833 | 2014 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
New sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficients
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
The objective of the present paper is to find new sufficient conditions for the existence of unique strong solutions to a class of (time-inhomogeneous) stochastic differential equations with random, non-Lipschitzian coefficients. We give an example to show that our conditions are indeed weaker than those relevant conditions existing in the literature. We also derive moment estimations for the maximum process of the solution. Finally, we present a sufficient condition to ensure the non confluence property of the solution of time-homogeneous SDE which, in one dimension, is nothing but stochastic monotone property of the solution.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 124, Issue 12, December 2014, Pages 4030–4049
Journal: Stochastic Processes and their Applications - Volume 124, Issue 12, December 2014, Pages 4030–4049
نویسندگان
Guangqiang Lan, Jiang-Lun Wu,