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A class of degenerate stochastic differential equations with non-Lipschitz coefficients

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Title A class of degenerate stochastic differential equations with non-Lipschitz coefficients
 
Creator KUMAR, KS
 
Subject Degenerate SDEs
non-Lipschitz coefficients
comparison theorems
CHAINS
 
Description We obtain sufficient condition for SDEs to evolve in the positive orthant. We use arguments based on comparison theorems for SDEs to achieve this. As an application we prove the existence of a unique strong solution for a class of multidimensional degenerate SDEs with non-Lipschitz diffusion coefficients.
 
Publisher INDIAN ACAD SCIENCES
 
Date 2014-10-16T05:47:07Z
2014-10-16T05:47:07Z
2013
 
Type Article
 
Identifier PROCEEDINGS OF THE INDIAN ACADEMY OF SCIENCES-MATHEMATICAL SCIENCES, 123(3)443-454
http://dx.doi.org/10.1007/s12044-013-0141-8
http://dspace.library.iitb.ac.in/jspui/handle/100/15374
 
Language en