EULER SCHEME AND MEASURABLE FLOWS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH NON-LIPSCHITZ COEFFICIENTS

doi:10.1016/S0252-9602(17)30123-6

数学物理学报(英文版) ›› 2018, Vol. 38 ›› Issue (1): 157-168.doi: 10.1016/S0252-9602(17)30123-6

EULER SCHEME AND MEASURABLE FLOWS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH NON-LIPSCHITZ COEFFICIENTS

王志明

College of Science, Wuhan University of Science and Technology, Wuhan 430081, China

收稿日期:2016-12-07 修回日期:2017-03-04 出版日期:2018-02-25 发布日期:2018-02-25
作者简介:Zhiming WANG,E-mail:mingwz@126.com

EULER SCHEME AND MEASURABLE FLOWS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH NON-LIPSCHITZ COEFFICIENTS

Zhiming WANG

College of Science, Wuhan University of Science and Technology, Wuhan 430081, China

Received:2016-12-07 Revised:2017-03-04 Online:2018-02-25 Published:2018-02-25

摘要/Abstract

摘要：

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.

关键词: stochastic differential equation, Euler scheme, measurable flow, Markov property, non-Lipschitz

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.

Key words: stochastic differential equation, Euler scheme, measurable flow, Markov property, non-Lipschitz

王志明. EULER SCHEME AND MEASURABLE FLOWS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH NON-LIPSCHITZ COEFFICIENTS[J]. 数学物理学报(英文版), 2018, 38(1): 157-168.

Zhiming WANG. EULER SCHEME AND MEASURABLE FLOWS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH NON-LIPSCHITZ COEFFICIENTS[J]. Acta mathematica scientia,Series B, 2018, 38(1): 157-168.

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EULER SCHEME AND MEASURABLE FLOWS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH NON-LIPSCHITZ COEFFICIENTS

EULER SCHEME AND MEASURABLE FLOWS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH NON-LIPSCHITZ COEFFICIENTS

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