Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156474 | Stochastic Processes and their Applications | 2014 | 20 Pages |
Abstract
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.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Guangqiang Lan, Jiang-Lun Wu,