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Strong completeness for a class of stochastic differential equations with irregular coefficients


 
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1. Title Title of document Strong completeness for a class of stochastic differential equations with irregular coefficients
 
2. Creator Author's name, affiliation, country Xin Chen; Universidade de Lisboa; Portugal
 
2. Creator Author's name, affiliation, country Xue-Mei Li; The University of Warwick; United Kingdom
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) strong completeness, stochastic differential equation, derivative flow equation, approximation, differential formula
 
3. Subject Subject classification 60H10
 
4. Description Abstract We prove the strong completeness for a class of non-degenerate SDEs, whose coefficients are not necessarily uniformly elliptic nor locally Lipschitz continuous nor bounded.Moreover, for each $p>0$ there is a positive number $T(p)$ such that for all $t<T(p)$,the solution flow $F_t(\cdot)$ belongs to the Sobolev space $W_{loc}^{1,p}$.  The main tool for this is the approximation of the associated derivative flow equations. As an application a differential formula  is  also obtained.
 
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7. Date (YYYY-MM-DD) 2014-10-03
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/3293
 
10. Identifier Digital Object Identifier 10.1214/EJP.v19-3293
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 19
 
12. Language English=en en
 
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