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Euler scheme and measurable flows for stochastic differential equations with non-Lipschitz coefficients

Article ID Journal Published Year Pages File Type
8904437 Acta Mathematica Scientia 2018 12 Pages PDF
Abstract
For a stochastic differential equation with non-Lipschitz coefficients, we construct, by Euler scheme, a measurable flow of the solution, and we prove the solution is a Markov process.
Keywords
60H1060F99Markov propertyEuler schemeNon-LipschitzStochastic differential equation
Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
Preview
Euler scheme and measurable flows for stochastic differential equations with non-Lipschitz coefficients
Authors
Zhiming WANG,
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Journal
Acta Mathematica Scientia
Journal: Acta Mathematica Scientia
Related Categories
60H10
60F99
Markov property
Euler scheme
Non-Lipschitz
Stochastic differential equation
Algebra and Number Theory
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